Joint and marginal specification tests for conditional mean and variance models
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Publication:291103
DOI10.1016/j.jeconom.2007.08.010zbMath1418.62319MaRDI QIDQ291103
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.2007.08.010
model checks; nonlinear time series; wild bootstrap; diagnostic tests; generalized spectral analysis; volatility model
62G10: Nonparametric hypothesis testing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62P05: Applications of statistics to actuarial sciences and financial mathematics
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