Residual-based rank specification tests for AR-GARCH type models
DOI10.1016/j.jeconom.2014.11.001zbMath1332.62307OpenAlexW3123990411MaRDI QIDQ2343810
Bas J. M. Werker, Elena Andreou
Publication date: 6 May 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.11.001
conditional heteroskedasticitynonlinear time seriesparameter constancymodel misspecification testlinear and quadratic residual autocorrelation testsresidual symmetry tests
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Statistical methods; risk measures (91G70) Statistical methods; economic indices and measures (91B82)
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