Misspecification Testing for the Conditional Distribution Model in GARCH-Type Processes
DOI10.1080/07474930802388033zbMath1161.62058OpenAlexW1973236664MaRDI QIDQ3615085
Corrado Provasi, Matteo Grigoletto
Publication date: 17 March 2009
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474930802388033
Asymptotic properties of parametric estimators (62F12) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30) Nonparametric statistical resampling methods (62G09) Monte Carlo methods (65C05)
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