Non-Parametric Testing of Conditional Variance Functions in Time Series
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Publication:4665430
DOI10.1111/1467-842X.00298zbMath1064.62053MaRDI QIDQ4665430
Publication date: 11 April 2005
Published in: Australian <html_ent glyph="@amp;" ascii="&"/> New Zealand Journal of Statistics (Search for Journal in Brave)
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
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Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations ⋮ Testing for multivariate volatility functions using minimum volume sets and inverse regression ⋮ A locally asymptotically powerful test for nonlinear autoregressive models ⋮ Edgeworth expansions for functions of weighted empirical distributions with applications to nonparametric confidence intervals ⋮ On residual empirical processes of GARCH-SM models: application to conditional symmetry tests ⋮ A simultaneous test for conditional mean and conditional variance functions in time series models with martingale difference innovations
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