Tests for conditional ellipticity in multivariate GARCH models
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Cites work
- scientific article; zbMATH DE number 45785 (Why is no real title available?)
- scientific article; zbMATH DE number 1552506 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- A consistent test for conditional symmetry in time series models
- A multivariate skew-GARCH model
- A note on the Jarque-Bera normality test for GARCH innovations
- A statistic for testing the null hypothesis of elliptical symmetry
- A test for elliptical symmetry
- A test for symmetries of multivariate probability distributions
- A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators
- Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors
- Applications of empirical characteristic functions in some multivariate problems
- Approximating the distributions of estimators of financial risk under an asymmetric Laplace law
- Asymmetric multivariate normal mixture GARCH
- Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
- Asymptotic theory for a vector ARMA-GARCH model
- Asymptotic theory for multivariate GARCH processes.
- Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution
- Distribution-free specification tests of conditional models
- Estimating multivariate volatility models equation by equation
- General notions of statistical depth function.
- Invariant tests for symmetry about an unspecified point based on the empirical characteristic function.
- Limit behaviour of the empirical characteristic function
- Maximum entropy test for GARCH models
- Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models
- Multivariate GARCH Models
- Multivariate time series analysis. With R and financial applications
- Multivariate variance targeting in the BEKK-GARCH model
- Necessary conditions for the CAPM
- Nonparametric Monte Carlo tests and their applications.
- Nonparametric Monte Carlo tests for multivariate distributions
- Nonparametric estimation of multivariate elliptic densities via finite mixture sieves
- Nonparametric model checks for time series
- Nonparametric tests for conditional symmetry in dynamic models
- On the empirical characteristic function process of the residuals in GARCH models and applications
- On the range of validity of the autoregressive sieve bootstrap
- Optimal procedures based on interdirections and pseudo-Mahalanobis ranks for testing multivariate elliptic white noise against ARMA dependence
- Optimal tests for multivariate location based on interdirections and pseudo-Mahalanobis ranks.
- Polar angle tangent vectors follow Cauchy distributions under spherical symmetry
- Properties and estimation of asymmetric exponential power distribution
- QML estimation of a class of multivariate asymmetric GARCH models
- Rank-based optimal tests of the adequacy of an elliptic VARMA model
- Robust tests for spherical symmetry
- Semi-parametric efficiency, distribution-freeness and invariance
- Semiparametric multivariate volatility models
- Stationarity and geometric ergodicity of BEKK multivariate GARCH models
- Strict stationarity of generalized autoregressive processes
- Targeting estimation of CCC-GARCH models with infinite fourth moments
- Testing Symmetry of the Error Distribution in Nonlinear Heteroscedastic Models
- Testing for bivariate spherical symmetry
- Testing for ellipsoidal symmetry of a multivariate density
- Testing for ellipsoidal symmetry: a comparison study
- Testing for spherical symmetry of a multivariate distribution
- Testing for spherical symmetry via the empirical characteristic function
- Testing multivariate distributions in GARCH models
- Testing of spherical symmetry of a multivariate distribution.
- Tests for symmetric error distribution in linear and nonparametric regression models
- The bootstrap does not always work for heteroscedastic models
- The centred parametrization for the multivariate skew-normal distribution
- The distribution of the ratio \(X/Y\) for all centred elliptically symmetric distributions
Cited in
(17)- Power enhancement for dimension detection of Gaussian signals
- Testing multivariate distributions in GARCH models
- Inferential procedures based on the integrated empirical characteristic function
- Count and duration time series with equal conditional stochastic and mean orders
- A consistent test for multivariate conditional distributions
- Characteristic function of the order statistics of the Student's \(t\) distribution
- BL-GARCH models with elliptical distributed innovations
- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
- A portmanteau test for multivariate GARCH when the conditional mean is an ECM: theory and empirical applications
- Testing for spherical and elliptical symmetry
- Testing the existence of moments for GARCH processes
- Evaluating Multivariate GARCH Models in the Nordic Electricity Markets
- Characterizations of multinormality and corresponding tests of fit, including for GARCH models
- Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations
- A new class of tests for multinormality with i.i.d. And garch data based on the empirical moment generating function
- A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
- Testing Error Distribution by Kernelized Stein Discrepancy in Multivariate Time Series Models
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