Normality test for multivariate conditional heteroskedastic dynamic regression models
DOI10.1016/J.ECONLET.2011.01.015zbMATH Open1211.62154OpenAlexW2044046323MaRDI QIDQ533940FDOQ533940
Authors: Sangyeol Lee, Chi Tim Ng 
Publication date: 10 May 2011
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2011.01.015
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Cites Work
- Asymptotic theory for multivariate GARCH processes.
- On some global measures of the deviations of density function estimates
- An Appraisal and Bibliography of Tests for Multivariate Normality
- On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
- Multivariate skewt-distribution
- The efficiency of the estimators of the parameters in GARCH processes.
- High moment partial sum processes of residuals in GARCH models and their applications
- Testing multivariate distributions in GARCH models
- Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
- Normal mixture quasi-maximum likelihood estimator for GARCH models
- A note on the Jarque-Bera normality test for GARCH innovations
Cited In (13)
- A robustified Jarque-Bera test for multivariate normality
- Title not available (Why is that?)
- A note on the Jarque-Bera normality test for GARCH innovations
- Testing multivariate distributions in GARCH models
- Normality tests for latent variables
- On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
- A note on Jarque-Bera normality test for ARMA-GARCH innovations
- Tests for multivariate normality -- a critical review with emphasis on weighted \(L^2\)-statistics
- New fat-tail normality test based on conditional second moments with applications to finance
- On Jarque-Bera normality and cusum parameter change tests for BCTT-GARCH models
- Jarque-Bera normality test for the driving Lévy process of a discretely observed univariate SDE
- Test for normality in the econometric disequilibrium markets model
- Tests for conditional ellipticity in multivariate GARCH models
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