Data-driven score test of fit for conditional distribution in the \(\mathrm{GARCH}(1,1)\) model (Q5756841)
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scientific article; zbMATH DE number 5187532
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| default for all languages | No label defined |
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| English | Data-driven score test of fit for conditional distribution in the \(\mathrm{GARCH}(1,1)\) model |
scientific article; zbMATH DE number 5187532 |
Statements
5 September 2007
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noise distribution
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efficient score vector
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BIC Schwarz selection rule
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martingale difference array
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central limit theorem
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ergodic theorem
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Monte Carlo simulations
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0.9111565947532654
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0.7960800528526306
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0.7924109101295471
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0.7913240194320679
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0.7899482250213623
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