Misspecification tests for periodic long memory GARCH models
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Publication:257484
DOI10.1007/S10260-009-0118-ZzbMATH Open1332.62312OpenAlexW2060409482MaRDI QIDQ257484FDOQ257484
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
Recommendations
Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Modeling and pricing long memory in stock market volatility
- Generalised long-memory GARCH models for intra-daily volatility
- The detection and estimation of long memory in stochastic volatility
- Analytic Hessian matrices and the computation of FIGARCH estimates
- Periodic Long-Memory GARCH Models
- A k-Factor GARMA Long-memory Model
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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