Goodness-of-fit tests for Log-GARCH and EGARCH models
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Publication:1708360
DOI10.1007/S11749-016-0506-2OpenAlexW2529210590MaRDI QIDQ1708360FDOQ1708360
Authors: C. Francq, Olivier Wintenberger, Jean-Michel Zakoïan 
Publication date: 23 March 2018
Published in: Test (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1601.05560
Recommendations
- Specification tests for the error distribution in GARCH models
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL
- Title not available (Why is that?)
- On a measure of lack of fit in time series models
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- GARCH processes: structure and estimation
- Testing linearity against smooth transition autoregressive models
- GARCH models without positivity constraints: exponential or log GARCH?
- On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
- ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
- Title not available (Why is that?)
- Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
- QML estimation of a class of multivariate asymmetric GARCH models
- Asymptotic distribution-free diagnostic tests for heteroskedastic time series models
- EGARCH models with fat tails, skewness and leverage
- Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown
- A model specification test for GARCH(1,1) processes
Cited In (12)
- Exponential control of the trajectories of iterated function systems with application to semi-strong GARCH models
- Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices
- Portmanteau test for a class of multivariate asymmetric power GARCH model
- Volatility Estimation When the Zero-Process is Nonstationary
- A weighted goodness-of-fit test for GARCH(1,1) specification
- Exponential-Type GARCH Models With Linear-in-Variance Risk Premium
- Portmanteau test for the asymmetric power GARCH model when the power is unknown
- Editorial
- Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models
- Asymptotic normality of the MLE in the level-effect ARCH model
- Goodness-of-fit tests for extended Log-GARCH models
- TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS
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