Maximum entropy test for GARCH models

DOI10.1016/j.stamet.2014.05.002zbMath1486.62241OpenAlexW2026060751MaRDI QIDQ1731233

Sangyeol Lee, Siyun Park, Ji-Yeon Lee

Publication date: 13 March 2019

Published in: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.stamet.2014.05.002

zbMATH Keywords

goodness of fit testGARCH modelsmaximum entropy measure

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items

On entropy-based goodness-of-fit test for asymmetric Student-t and exponential power distributions ⋮ Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations ⋮ CHARACTERIZATIONS OF MULTINORMALITY AND CORRESPONDING TESTS OF FIT, INCLUDING FOR GARCH MODELS ⋮ Tests for conditional ellipticity in multivariate GARCH models ⋮ Robust maximum entropy test for GARCH models based on a minimum density power divergence estimator ⋮ Tests for multivariate normality -- a critical review with emphasis on weighted $L^2$-statistics ⋮ On entropy goodness-of-fit test based on integrated distribution function ⋮ Bootstrap entropy test for general location-scale time series models with heteroscedasticity ⋮ Omnibus goodness of fit test based on quadratic distance

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