Robust maximum entropy test for GARCH models based on a minimum density power divergence estimator

DOI10.1016/J.ECONLET.2017.11.003zbMath1401.62160OpenAlexW2767575005MaRDI QIDQ1787240

Byungsoo Kim

Publication date: 5 October 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2017.11.003

zbMATH Keywords

GARCH modelsparametric bootstrap methodminimum density power divergence estimatornormality testentropy-based goodness-of-fit test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Bootstrap, jackknife and other resampling methods (62F40)

Cites Work

• Minimum density power divergence estimator for GARCH models
• The maximum entropy principle: A tool to define new entropies
• A maximum entropy type test of fit
• Maximum entropy test for GARCH models
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Robust estimation for the covariance matrix of multivariate time series based on normal mixtures
• Bootstrap based goodness-of-fit-tests
• Robust and efficient estimation by minimising a density power divergence

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