Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals

DOI10.1080/0094965031000104314zbMath1060.62097OpenAlexW2069244238MaRDI QIDQ4673966

Lajos Horváth, Gilles Teyssière, Piotr S. Kokoszka

Publication date: 9 May 2005

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/0094965031000104314

zbMATH Keywords

goodness-of-fit testsARCH modelsmooth bootstrapsquared residualssize-power curves

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Graphical methods in statistics (62A09)

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