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

DOI10.1093/BIOMET/ASX063MaRDI QIDQ5384565zbMATH OpenOpenAlexFDO

Authors Yao Zheng, Wai Keung Li, Guodong Li

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

goodness-of-fit testrobustnessheavy tailresidual empirical processconditional heteroscedastic model

Mathematics Subject Classification ID

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

Cited in

(7)

• Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models
• Residual empirical processes and qualitatively robust GM-tests in autoregression
• Robustness of GM-tests in autoregression against outliers
• Robust parametric tests of constant conditional correlation in a MGARCH model
• Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic 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

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