Testing multivariate distributions in GARCH models

DOI10.1016/j.jeconom.2007.08.012zbMath1418.62300OpenAlexW2015024767MaRDI QIDQ291099

Zhi-Hong Chen, Jushan Bai

Publication date: 6 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.08.012

zbMATH Keywords

Brownian motionGARCHmultivariate normalitydistribution-free testsK-transformationmultivariate \(t\)

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15)

Related Items (15)

A Consistent Test for Multivariate Conditional Distributions ⋮ Asymptotically Distribution-Free Goodness-of-Fit Testing: A Unifying View ⋮ Multivariate specification tests based on a dynamic Rosenblatt transform ⋮ Empirical characteristic function tests for GARCH innovation distribution using multipliers ⋮ A robust score-driven filter for multivariate time series ⋮ 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 ⋮ Asymptotically distribution-free tests for the volatility function of a diffusion ⋮ Tests for conditional ellipticity in multivariate GARCH models ⋮ Normality test for multivariate conditional heteroskedastic dynamic regression models ⋮ NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL ⋮ A unified approach to validating univariate and multivariate conditional distribution models in time series ⋮ On the empirical characteristic function process of the residuals in GARCH models and applications ⋮ A goodness-of-fit test for copulas based on martingale transformation ⋮ Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes

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