TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS
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Publication:3409062
DOI10.1017/S0266466606060221zbMATH Open1125.62103MaRDI QIDQ3409062FDOQ3409062
Authors: Lajos Horváth, Ričardas Zitikis 
Publication date: 7 November 2006
Published in: Econometric Theory (Search for Journal in Brave)
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Density estimation (62G07) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Stationarity of GARCH processes and of some nonnegative time series
- The efficiency of the estimators of the parameters in GARCH processes.
- Efficient estimation in semiparametric GARCH models
- Empirical process of the squared residuals of an ARCH sequence
- Estimation of GARCH models from the autocorrelations of the squares of a process
- Central limit theorems for \(L_ p\)-norms of density estimators
- On the Bickel-Rosenblatt test for first-order autoregressive models
- \(L_{p}\)-estimators in ARCH models
- Maximally dependent random variables
- ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
- Asymptotics of the \(L_p\)-norms of density estimators in the first-order autoregressive models.
Cited In (9)
- Data-driven score test of fit for conditional distribution in the \(\mathrm{GARCH}(1,1)\) model
- Specification tests for the error distribution in 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 weighted goodness-of-fit test for GARCH(1,1) specification
- A visual goodness-of-fit test for econometrical models
- A goodness-of-fit test for GARCH innovation density
- Convergence in distribution for the sup-norm of a kernel density estimator for GARCH inno\-va\-tions
- Jarque-Bera normality test for the driving Lévy process of a discretely observed univariate SDE
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