Testing multivariate distributions in GARCH models

DOI10.1016/J.JECONOM.2007.08.012zbMATH Open1418.62300OpenAlexW2015024767MaRDI QIDQ291099FDOQ291099

Authors: Zhi-Hong Chen, Jushan Bai 

Publication date: 6 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.08.012

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zbMATH Keywords

distribution-free testsGARCHmultivariate normalityBrownian motionmultivariate \(t\)K-transformation

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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Cited In (25)

• A residual-based test for multivariate GARCH models using transformed quadratic residuals
• Characterizations of multinormality and corresponding tests of fit, including for GARCH models
• Testing Error Distribution by Kernelized Stein Discrepancy in Multivariate Time Series Models
• On the empirical characteristic function process of the residuals in GARCH models and applications
• A robust score-driven filter for multivariate time series
• A new class of tests for multinormality with i.i.d. And garch data based on the empirical moment generating function
• A goodness-of-fit test for copulas based on martingale transformation
• Testing for volatility interactions in the Constant Conditional Correlation GARCH model
• Asymptotically Distribution-Free Goodness-of-Fit Testing: A Unifying View
• Multivariate specification tests based on a dynamic Rosenblatt transform
• Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations
• Artificial regression testing in the GARCH‐in‐mean model
• Empirical characteristic function tests for GARCH innovation distribution using multipliers
• A consistent test for multivariate conditional distributions
• A unified approach to validating univariate and multivariate conditional distribution models in time series
• Asymptotically distribution-free tests for the volatility function of a diffusion
• Tests for conditional ellipticity in multivariate GARCH models
• A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
• Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes
• Title not available (Why is that?)
• Misspecification Testing for the Conditional Distribution Model in GARCH-Type Processes
• Normality test for multivariate conditional heteroskedastic dynamic regression models
• Negative volatility spillovers in the unrestricted ECCC-GARCH model
• TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS
• Testing for identification in SVAR-GARCH models

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