Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
From MaRDI portal
Publication:888322
DOI10.1016/j.jeconom.2015.03.025zbMath1337.62248MaRDI QIDQ888322
Publication date: 30 October 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://mpra.ub.uni-muenchen.de/50487/1/MPRA_paper_50487.pdf
ARCH-type model; model diagnostics; LAD estimator; heavy-tailed innovation; sign-based portmanteau test
62G10: Nonparametric hypothesis testing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62P05: Applications of statistics to actuarial sciences and financial mathematics
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