Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models

DOI10.1007/s11749-019-00676-0zbMath1458.62201OpenAlexW2967046260WikidataQ127389005 ScholiaQ127389005MaRDI QIDQ2220796

Simos G. Meintanis, Sangyeol Lee, M. Dolores Jiménez-Gamero

Publication date: 25 January 2021

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-019-00676-0

zbMATH Keywords

weighted bootstrapgoodness-of-fit testGARCH modelconditional duration modelBierens characterization

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Portmanteau test for the asymmetric power GARCH model when the power is unknown, Portmanteau test for a class of multivariate asymmetric power GARCH model, A residual bootstrap for conditional value-at-risk

Uses Software

• R

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