On the test of the volatility proxy model

DOI10.1080/03610918.2020.1836215MaRDI QIDQ5055216zbMATH OpenOpenAlexFDO

Authors Chunliang Deng, XingFa Zhang, ZeFang Song, Yuan Li

Publication date 13 December 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2020.1836215

zbMATH Keywords

GARCH effect testGARCH modelvolatility proxy

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Hypothesis testing in multivariate analysis (62H15)

Cites work

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Cited in

(2)

• Testing for EGARCH Against Stochastic Volatility Models
• Conditional quantile estimation for GARCH model based on mixed-frequency data

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