Misspecification tests for periodic long memory GARCH models
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Cites work
- A k-Factor GARMA Long-memory Model
- Analytic Hessian matrices and the computation of FIGARCH estimates
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Generalised long-memory GARCH models for intra-daily volatility
- Modeling and pricing long memory in stock market volatility
- Periodic Long-Memory GARCH Models
- The detection and estimation of long memory in stochastic volatility
Cited in
(7)- FIRST-ORDER ASYMPTOTIC THEORY FOR PARAMETRIC MISSPECIFICATION TESTS OF GARCH MODELS
- Generalised long-memory GARCH models for intra-daily volatility
- Identification of long memory in GARCH models
- The effect of (mis-specified) GARCH filters on the finite sample distribution of the BDS test
- Periodic Long-Memory GARCH Models
- Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models
- Misspecification Testing for the Conditional Distribution Model in GARCH-Type Processes
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