Asymptotic distribution-free diagnostic tests for heteroskedastic time series models
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Publication:3577700
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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- Diagnostic checking for conditional heteroscedasticity models
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Cites work
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- A consistent test for conditional symmetry in time series models
- A goodness-of-fit test for ARCH() models
- ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
- ARCH modeling in finance. A review of the theory and empirical evidence
- Analysis of Financial Time Series
- Asymptotic Properties of Non-Linear Least Squares Estimators
- Asymptotic distribution-free diagnostic tests for heteroskedastic time series models
- Checking nonlinear heteroscedastic time series models
- Comparing nonparametric versus parametric regression fits
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Estimation in conditionally heteroscedatic time series models.
- Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
- Evaluating GARCH models.
- Fitting an error distribution in some heteroscedastic time series models
- Generalized spectral tests for the martingale difference hypothesis
- Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models
- Joint and marginal specification tests for conditional mean and variance models
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Model diagnosis for parametric regression in high-dimensional spaces
- Nonparametric tests for conditional symmetry in dynamic models
- ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
- On a measure of lack of fit in time series models
- Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
- Weak convergence and empirical processes. With applications to statistics
- Weak convergence of a self-consistent estimator of the survival function with doubly censored data
- Weighted empirical processes in dynamic nonlinear models.
Cited in
(18)- Testing the adequacy of GARCH-type models in time series
- Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
- Lack-of-fit testing of the conditional mean function in a class of Markov multiplicative error models
- Goodness-of-fit tests for Log-GARCH and EGARCH models
- Asymptotic distribution-free diagnostic tests for heteroskedastic time series models
- Marked empirical processes for non-stationary time series
- Appraisal of excess Kurtosis through outlier-modified GARCH-type models
- Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations
- Empirical‐process‐based specification tests for diffusion models
- Bootstrap specification tests for dynamic conditional distribution models
- Extremal Dependence-Based Specification Testing of Time Series
- Diagnostic checking for conditional heteroscedasticity models
- Diagnostic checking for the adequacy of nonlinear time series models
- Fitting an error distribution in some heteroscedastic time series models
- Fitting a two phase threshold multiplicative error model
- Diagnostic tests for non-causal time series with infinite variance
- A model specification test for GARCH(1,1) processes
- Weak convergence of marked empirical processes for focused inference on \(\mathrm{AR}(p)\) vs \(\mathrm{AR}(p+1)\) stationary time series
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