A note on Jarque-Bera normality test for ARMA-GARCH innovations
DOI10.1016/J.JKSS.2011.05.006zbMATH Open1296.62175OpenAlexW2087812117MaRDI QIDQ744734FDOQ744734
Authors: Taewook Lee 
Publication date: 26 September 2014
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jkss.2011.05.006
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Cites Work
- On some global measures of the deviations of density function estimates
- GARCH processes: structure and estimation
- On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
- Stationarity of GARCH processes and of some nonnegative time series
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- On residual empirical processes of stochastic regression models with applications to time series
- Stationarity and the existence of moments of a family of GARCH processes.
- High moment partial sum processes of residuals in GARCH models and their applications
- Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes
- A note on the Jarque-Bera normality test for GARCH innovations
- NM-QELE for ARMA-GARCH models with non-Gaussian innovations
Cited In (6)
- On a test of normality based on the empirical moment generating function
- On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
- Jarque-Bera normality test for the driving Lévy process of a discretely observed univariate SDE
- Normality test for multivariate conditional heteroskedastic dynamic regression models
- Normality test in random coefficient autoregressive models
- Modeling and predicting Chinese stock downside risks via Gaussian mixture models and marked self-exciting point process
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