Serial independence tests for innovations of conditional mean and variance models
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Publication:1708359
DOI10.1007/s11749-016-0521-3zbMath1390.60085OpenAlexW3125697798MaRDI QIDQ1708359
Kilani Ghoudi, Bruno Rémillard
Publication date: 23 March 2018
Published in: Test (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11749-016-0521-3
bootstrapempirical processesmultipliersrandomnessresidualsGARCH modelsserial independenceempirical copulaindependence testssquared residuals
Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30) Nonparametric statistical resampling methods (62G09)
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