Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models

DOI10.1016/S0165-1765(00)00212-3zbMath0951.91062OpenAlexW1491193538WikidataQ58168593 ScholiaQ58168593MaRDI QIDQ1978761

Yanyan Li

Publication date: 4 June 2000

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

Full work available at URL: https://doi.org/10.1016/s0165-1765(00)00212-3

zbMATH Keywords

asymmetriesmisspecificationGARCH modelsBDS testEngle and Ng tests

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (3)

Tests for time reversibility: a complementarity analysis ⋮ Optimal Range for the iid Test Based on Integration Across the Correlation Integral ⋮ Estimating critical values for testing the i.i.d. in standardized residuals from GARCH models in finite samples

Cites Work

• The effect of (mis-specified) GARCH filters on the finite sample distribution of the BDS test
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• A test for independence based on the correlation dimension

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