Testing for multivariate volatility functions using minimum volume sets and inverse regression
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Cites work
- scientific article; zbMATH DE number 3899977 (Why is no real title available?)
- scientific article; zbMATH DE number 1932856 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- scientific article; zbMATH DE number 3415199 (Why is no real title available?)
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- DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
- Empirical process of the squared residuals of an ARCH sequence
- Goodness-of-fit tests for kernel regression with an application to option implied volatilities
- Inference in Arch and Garch Models with Heavy-Tailed Errors
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- Nonlinear Time Series
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- Testing for multivariate volatility functions using minimum volume sets and inverse regression
Cited in
(4)- Testing for multivariate volatility functions using minimum volume sets and inverse regression
- Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations
- On the local linear modelization of the conditional distribution for functional data
- Approximating volatilities by asymmetric power GARCH functions
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