Tests for conditional ellipticity in multivariate GARCH models

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Economic time series analysis (91B84)

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Cited In (13)

Inferential procedures based on the integrated empirical characteristic function
Title not available (Why is that?)
Testing Error Distribution by Kernelized Stein Discrepancy in Multivariate Time Series Models
A new class of tests for multinormality with i.i.d. And garch data based on the empirical moment generating function
Testing for spherical and elliptical symmetry
Power enhancement for dimension detection of Gaussian signals
Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Testing the existence of moments for GARCH processes
COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS
A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
BL-GARCH models with elliptical distributed innovations
CHARACTERIZATIONS OF MULTINORMALITY AND CORRESPONDING TESTS OF FIT, INCLUDING FOR GARCH MODELS

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