Testing for multivariate volatility functions using minimum volume sets and inverse regression
DOI10.1016/J.JECONOM.2008.09.003zbMATH Open1429.62410OpenAlexW2002879311MaRDI QIDQ299269FDOQ299269
Authors: Wolfgang Polonik, Qiwei Yao 
Publication date: 22 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/24132/1/Testing_for_multivariate_volatility_functions_%28LSERO_maths_version%29.pdf
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Cited In (4)
- Testing for multivariate volatility functions using minimum volume sets and inverse regression
- Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations
- On the local linear modelization of the conditional distribution for functional data
- Approximating volatilities by asymmetric power GARCH functions
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