Normality test for multivariate conditional heteroskedastic dynamic regression models

DOI10.1016/J.ECONLET.2011.01.015MaRDI QIDQ533940zbMATH OpenOpenAlexFDO

Authors Sangyeol Lee, Chi Tim Ng

Publication date 10 May 2011

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2011.01.015

zbMATH Keywords

multivariate GARCH modelsnormality testdistribution free testJarque-Bera test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

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Cites work

• A note on the Jarque-Bera normality test for GARCH innovations
• An Appraisal and Bibliography of Tests for Multivariate Normality
• Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
• Asymptotic theory for multivariate GARCH processes.
• High moment partial sum processes of residuals in GARCH models and their applications
• Multivariate skewt-distribution
• Normal mixture quasi-maximum likelihood estimator for GARCH models
• On some global measures of the deviations of density function estimates
• On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
• Testing multivariate distributions in GARCH models
• The efficiency of the estimators of the parameters in GARCH processes.

Cited in

(13)

• New fat-tail normality test based on conditional second moments with applications to finance
• Normality tests for latent variables
• A note on the Jarque-Bera normality test for GARCH innovations
• Testing multivariate distributions in GARCH models
• Tests for multivariate normality -- a critical review with emphasis on weighted \(L^2\)-statistics
• Test for normality in the econometric disequilibrium markets model
• A note on Jarque-Bera normality test for ARMA-GARCH innovations
• On Jarque-Bera normality and cusum parameter change tests for BCTT-GARCH models
• Jarque-Bera normality test for the driving Lévy process of a discretely observed univariate SDE
• scientific article; zbMATH DE number 528889 (Why is no real title available?)
• On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
• A robustified Jarque-Bera test for multivariate normality
• Tests for conditional ellipticity in multivariate GARCH models

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