Testing for multivariate volatility functions using minimum volume sets and inverse regression

DOI10.1016/j.jeconom.2008.09.003zbMath1429.62410OpenAlexW2002879311MaRDI QIDQ299269

Qiwei Yao, Wolfgang Polonik

Publication date: 22 June 2016

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

Full work available at URL: http://eprints.lse.ac.uk/24132/1/Testing_for_multivariate_volatility_functions_%28LSERO_maths_version%29.pdf

zbMATH Keywords

Brownian bridgeheteroscedasticitylevel setARCH modelsempirical processintegral stochastic ordersmiling effect

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items

Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations, Testing for multivariate volatility functions using minimum volume sets and inverse regression, On the local linear modelization of the conditional distribution for functional data, APPROXIMATING VOLATILITIES BY ASYMMETRIC POWER GARCH FUNCTIONS

Uses Software

• RiskMetrics

Cites Work

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