Robust score and portmanteau tests of volatility spillover

DOI10.1016/j.jeconom.2014.09.001zbMath1332.62294MaRDI QIDQ473342

Mike Aguilar, Jonathan B. Hill

Publication date: 24 November 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.09.001

zbMATH Keywords

heavy tails; volatility spillover; robust inference; tail trimming

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G35: Nonparametric robustness

91G70: Statistical methods; risk measures

62M07: Non-Markovian processes: hypothesis testing

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