Testing for GARCH effects: A one-sided approach
From MaRDI portal
Publication:1298438
DOI10.1016/S0304-4076(97)00110-3zbMath0962.62083WikidataQ128090036 ScholiaQ128090036MaRDI QIDQ1298438
Antonis Demos, Enrique Sentana
Publication date: 19 June 2001
Published in: Journal of Econometrics (Search for Journal in Brave)
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)
Related Items
Small Sample Estimation Bias in GARCH Models with Any Number of Exogenous Variables in the Mean Equation ⋮ The use of aggregate time series for testing conditional heteroscedasticity ⋮ New testing approaches for mean-variance predictability ⋮ Selecting the order of an ARCH model ⋮ Testing conditional heteroscedasticity with systematic sampling of time series ⋮ The uncertainties about the relationships risk-return-volatility in the Spanish stock market ⋮ A structured variational learning approach for switching latent factor models ⋮ Estimation Under Inequality Constraints: Semiparametric Estimation of Conditional Duration Models ⋮ Test for dispersion constancy in stochastic differential equation models ⋮ Identification, estimation and testing of conditionally heteroskedastic factor models ⋮ Simulation-based finite-sample tests for heteroskedasticity and ARCH effects ⋮ Testing for reduction to random walk in autoregressive conditional heteroskedasticity models ⋮ Bahadur intercept with applications to one-sided testing ⋮ Optimal prediction with conditionally heteroskedastic factor analysed hidden Markov models ⋮ TESTING GARCH-X TYPE MODELS ⋮ Evaluating GARCH models. ⋮ Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- A heteroscedasticity-consistent covariance matrix estimator for time series regressions
- Testing inequality constraints in linear econometric models
- A note on Studentizing a test for heteroscedasticity
- A Lagrange multiplier test for GARCH models
- ARCH modeling in finance. A review of the theory and empirical evidence
- Generalized autoregressive conditional heteroscedasticity
- On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
- Temporal Aggregation of Garch Processes
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- ARMA MODELS WITH ARCH ERRORS
- Pseudo Maximum Likelihood Methods: Theory
- On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships
- Wald Criteria for Jointly Testing Equality and Inequality Restrictions
- Asymptotic distribution of test statistics in the analysis of moment structures under inequality constraints
- Diagnostic tests as residual analysis
- Asymptotic Properties of Maximum Likelihood Estimators and Likelihood Ratio Tests Under Nonstandard Conditions
- Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
- Autoregressive Conditional Density Estimation
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- An introduction to econometric applications of empirical process theory for dependent random variables
- On asymptotic tests of composite hypotheses in nonstandard conditions
- A test for the presence of conditional heteroskedasticity within arch-m framework
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Quadratic ARCH Models
- Asymptotic properties of homogeneity tests
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- On the Distribution of the Likelihood Ratio
- Maximum Likelihood Estimation of Misspecified Models
