Testing for nonlinearity in conditional covariances

DOI10.1515/JTSE-2016-0010MaRDI QIDQ1695687zbMATH OpenOpenAlexFDO

Authors Bilel Sanhaji

Publication date 7 February 2018

Published in Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/jtse-2016-0010

zbMATH Keywords

nonlinearityLagrange multiplier testmultivariate GARCHsmooth transitionscalar BEKK

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Publication:4935654
• scientific article; zbMATH DE number 4060586
• Testing for nonlinearity in mean and volatility for heteroskedastic models
• Specification tests for nonlinear dynamic models
• Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean

Cites work

• A multivariate threshold varying conditional correlations model
• Asymptotic theory for multivariate GARCH processes.
• Copula-based multivariate GARCH model with uncorrelated dependent errors
• Exploiting the errors: a simple approach for improved volatility forecasting
• Modeling conditional correlations of asset returns: a smooth transition approach
• Multivariate GARCH Models
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
• Multivariate rotated ARCH models
• Multivariate variance targeting in the BEKK-GARCH model
• On asymptotic theory for multivariate GARCH models
• QML estimation of a class of multivariate asymmetric GARCH models
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
• Testing and Modeling Multivariate Threshold Models
• Testing for nonlinearity in conditional covariances
• Testing linearity against smooth transition autoregressive models

Cited in

(8)

• Testing conditional independence using maximal nonlinear conditional correlation
• Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean
• scientific article; zbMATH DE number 1396256 (Why is no real title available?)
• Testing for local covariate trend effects in volatility models
• Testing for nonlinearity in conditional covariances
• A low-dimension portmanteau test for non-linearity
• A nonparametric test of a strong leverage hypothesis
• Testing for co-nonlinearity

This page was built for publication: Testing for nonlinearity in conditional covariances

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1695687)