Asymptotic distribution-free diagnostic tests for heteroskedastic time series models
DOI10.1017/S0266466609990090zbMATH Open1191.62085OpenAlexW3123982193MaRDI QIDQ3577700FDOQ3577700
Authors: J. Carlos Escanciano 
Publication date: 23 July 2010
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466609990090
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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)
Cites Work
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- Fitting an error distribution in some heteroscedastic time series models
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- Checking nonlinear heteroscedastic time series models
- ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
- Model diagnosis for parametric regression in high-dimensional spaces
- Asymptotic distribution-free diagnostic tests for heteroskedastic time series models
Cited In (18)
- Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
- Testing the adequacy of GARCH-type models in time series
- 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
- 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
- Marked empirical processes for non-stationary time series
- 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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