TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS

DOI10.1017/S0266466606060221zbMath1125.62103MaRDI QIDQ3409062

Ričardas Zitikis, Lajos Horváth

Publication date: 7 November 2006

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

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Specification tests for the error distribution in GARCH models ⋮ Jarque-Bera normality test for the driving Lévy process of a discretely observed univariate SDE ⋮ 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 ⋮ On the empirical characteristic function process of the residuals in GARCH models and applications

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