Joint and marginal specification tests for conditional mean and variance models
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Cites work
- A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS
- A consistent test for conditional symmetry in time series models
- A goodness-of-fit test for ARCH(\(\infty\)) models
- ARCH modeling in finance. A review of the theory and empirical evidence
- Asymptotic Theory of Integrated Conditional Moment Tests
- Autoregressive Conditional Density Estimation
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bootstrap Approximations in Model Checks for Regression
- Checking nonlinear heteroscedastic time series models
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
- Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series
- CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
- Diagnostic checking for the adequacy of nonlinear time series models
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Empirical process of the squared residuals of an ARCH sequence
- Estimation in conditionally heteroscedatic time series models.
- Evaluating GARCH models.
- Fitting an error distribution in some heteroscedastic time series models
- Generalized autoregressive conditional heteroscedasticity
- Generalized spectral tests for the martingale difference hypothesis
- Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models
- scientific article; zbMATH DE number 88834 (Why is no real title available?)
- scientific article; zbMATH DE number 3640710 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach
- Jackknife, bootstrap and other resampling methods in regression analysis
- Martingale Approach in the Theory of Goodness-of-Fit Tests
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Model checks using residual marked empirical processes
- Nonlinear time series. Nonparametric and parametric methods
- Nonparametric model checks for time series
- On a measure of lack of fit in time series models
- On the Power of Bootstrapped Specification Tests
- ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
- Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
- Quasi-likelihood models and optimal inference
- QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
- Testing for ARCH in the presence of a possibly misspecified conditional mean
- Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean
Cited in
(24)- The ZD-GARCH model: a new way to study heteroscedasticity
- Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models
- On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
- Lag selection and model specification testing in nonparametric autoregressive conditional heteroscedastic models
- A unified approach to validating univariate and multivariate conditional distribution models in time series
- A JOINT PORTMANTEAU TEST FOR CONDITIONAL MEAN AND VARIANCE TIME-SERIES MODELS
- A model specification test for GARCH(1,1) processes
- Asymptotic distribution-free diagnostic tests for heteroskedastic time series models
- An improved generalized spectral test for conditional mean models in time series with conditional heteroskedasticity of unknown form
- Simultaneous specification testing of mean and variance structures in nonlinear time series regression
- Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form
- A joint test for parametric specification and independence in nonlinear regression models
- Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations
- Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models
- Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
- Empirical‐process‐based specification tests for diffusion models
- Extremal Dependence-Based Specification Testing of Time Series
- Specification tests for generalised propensity scores using double projections
- Inference on dynamic systemic risk measures
- Omnibus diagnostic procedures for vector multiplicative errors models
- Transfer learning for joint mean and variance model
- Generalized spectral testing for multivariate continuous-time models
- Semiparametric inference in a GARCH-in-mean model
- Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
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