A robust goodness-of-fit test for generalized autoregressive conditional heteroscedastic models

DOI10.1093/biomet/asx063OpenAlexW3125985899MaRDI QIDQ5384565

Wai Keung Li, Guodong Li, Yao Zheng

Publication date: 24 June 2019

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/253572

zbMATH Keywords

robustnessheavy tailgoodness-of-fit testresidual empirical processconditional heteroscedastic model

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10)

Related Items (4)

Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models ⋮ Extremal Dependence-Based Specification Testing of Time Series ⋮ Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations ⋮ Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models

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