Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
DOI10.1016/J.JECONOM.2015.03.025zbMATH Open1337.62248OpenAlexW2019133152MaRDI QIDQ888322FDOQ888322
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
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Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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Cited In (6)
- Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
- Bootstrap inference for GARCH models by the least absolute deviation estimation
- Frontiers in time series and financial econometrics: an overview
- Adaptive quasi-maximum likelihood estimation of GARCH models with Student's \(t\) likelihood
- The ZD-GARCH model: a new way to study heteroscedasticity
- Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models
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