Misspecification tests for periodic long memory GARCH models

DOI10.1007/S10260-009-0118-ZMaRDI QIDQ257484zbMATH OpenOpenAlexFDO

Authors Massimiliano Caporin, Francesco Lisi

Publication date 17 March 2016

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL http://paduaresearch.cab.unipd.it/7112/1/2007_25_20080303092128.pdf

zbMATH Keywords

long memorygeneralized long memory GARCH modelsmisspecification testsPLM-GARCH models

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A k-Factor GARMA Long-memory Model
• Analytic Hessian matrices and the computation of FIGARCH estimates
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Generalised long-memory GARCH models for intra-daily volatility
• Modeling and pricing long memory in stock market volatility
• Periodic Long-Memory GARCH Models
• The detection and estimation of long memory in stochastic volatility

Cited in

(7)

• FIRST-ORDER ASYMPTOTIC THEORY FOR PARAMETRIC MISSPECIFICATION TESTS OF GARCH MODELS
• Generalised long-memory GARCH models for intra-daily volatility
• Identification of long memory in GARCH models
• The effect of (mis-specified) GARCH filters on the finite sample distribution of the BDS test
• Periodic Long-Memory GARCH Models
• Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models
• Misspecification Testing for the Conditional Distribution Model in GARCH-Type Processes

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