Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models

DOI10.1016/j.jeconom.2008.12.020zbMath1429.62661OpenAlexW2076981880MaRDI QIDQ302189

Pascale Valéry, Jean-Marie Dufour

Publication date: 4 July 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.12.020

zbMATH Keywords

identificationstochastic volatilityWald testtestingfinanceLM teststock pricesMonte Carlo testexact testmaximized Monte Carlo test\(C(\alpha)\) testhomoskedasticityLR testsingular moment conditionstwo-factor volatility

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

Related Items

Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations, Maximum likelihood estimation of latent Markov models using closed-form approximations, Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels, Simple estimators and inference for higher-order stochastic volatility models, Generalized $$C(\alpha )$$ Tests for Estimating Functions with Serial Dependence, Using point optimal test of a simple null hypothesis for testing a composite null hypothesis via maximized Monte Carlo approach, Invariant tests based onM-estimators, estimating functions, and the generalized method of moments

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