Testing multivariate distributions in GARCH models
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Cites work
- scientific article; zbMATH DE number 1820665 (Why is no real title available?)
- scientific article; zbMATH DE number 3390199 (Why is no real title available?)
- A Conditional Kolmogorov Test
- A Test for Normality of Observations and Regression Residuals
- A class of invariant consistent tests for multivariate normality
- A consistent test for conditional symmetry in time series models
- A test for normality based on the empirical characteristic function
- Adaptive Smoothing and Density-Based Tests of Multivariate Normality
- An Appraisal and Bibliography of Tests for Multivariate Normality
- An innovation approach to goodness-of-fit tests in \(R^ m\)
- Distribution-free specification tests of conditional models
- Generalized autoregressive conditional heteroscedasticity
- Martingale Approach in the Theory of Goodness-of-Fit Tests
- Martingale transforms goodness-of-fit tests in regression models.
- Measures of multivariate skewness and kurtosis for tests of nonnormality
- Measures of multivariate skewness and kurtosis with applications
- Model checks for regression: an innovation process approach
- Multivariate T-Distributions and Their Applications
- Nonparametric model checks for time series
- On Deviations between Theoretical and Empirical Distributions
- On certain limit theorems of the theory of probability
- Remarks on a Multivariate Transformation
- Weak convergence of the sample distribution function when parameters are estimated
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
- On the empirical characteristic function process of the residuals in GARCH models and applications
- Testing Error Distribution by Kernelized Stein Discrepancy in Multivariate Time Series Models
- A new class of tests for multinormality with i.i.d. And garch data based on the empirical moment generating function
- A robust score-driven filter for multivariate time series
- 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
- scientific article; zbMATH DE number 5811921 (Why is no real title available?)
- Misspecification Testing for the Conditional Distribution Model in GARCH-Type Processes
- Normality test for multivariate conditional heteroskedastic dynamic regression models
- TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS
- Negative volatility spillovers in the unrestricted ECCC-GARCH model
- Testing for identification in SVAR-GARCH models
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