A goodness-of-fit test for GARCH innovation density

DOI10.1007/S00184-010-0318-4zbMath1241.62067OpenAlexW2056426493MaRDI QIDQ434239

Nao Mimoto, Hira L. Koul

Publication date: 10 July 2012

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-010-0318-4

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (6)

Bootstrap specification tests for dynamic conditional distribution models ⋮ An analog of Bickel-Rosenblatt test for fitting an error density in the two phase linear regression model ⋮ Asymptotics of $L_\lambda$ -Norms of ARCH(p) Innovation Density Estimators ⋮ On the empirical characteristic function process of the residuals in GARCH models and applications ⋮ Goodness-of-fit testing of error distribution in linear measurement error models ⋮ Tests for time series of counts based on the probability-generating function

Cites Work

• Convergence in distribution for the sup-norm of a kernel density estimator for GARCH inno\-va\-tions
• Stationarity of GARCH processes and of some nonnegative time series
• Strict stationarity of generalized autoregressive processes
• GARCH processes: structure and estimation
• On the Bickel-Rosenblatt test for first-order autoregressive models
• On some global measures of the deviations of density function estimates
• A note on the Bickel\,-\,Rosenblatt test in autoregressive time series
• TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• Asymptotic properties in ARCH(p)-time series

This page was built for publication: A goodness-of-fit test for GARCH innovation density