ASYMPTOTICS FOR GARCH SQUARED RESIDUAL CORRELATIONS

DOI10.1017/S0266466603194017zbMath1441.62608OpenAlexW2115947104MaRDI QIDQ4561967

Lajos Horváth, István Berkes, Piotr S. Kokoszka

Publication date: 14 December 2018

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466603194017

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (15)

Comparison of specification tests for GARCH models ⋮ A goodness-of-fit test for ARCH(\(\infty\)) models ⋮ GARCH-type factor model ⋮ Portmanteau test for the asymmetric power GARCH model when the power is unknown ⋮ Portmanteau test for a class of multivariate asymmetric power GARCH model ⋮ Extremal Dependence-Based Specification Testing of Time Series ⋮ Conditional asymmetry in power ARCH\((\infty)\) models ⋮ Serial independence tests for innovations of conditional mean and variance models ⋮ Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models ⋮ Diagnostic checking integer-valued ARCH\((p)\) models using conditional residual autocorrelations ⋮ A goodness-of-fit test for ARCH(\(\infty\)) models ⋮ Inconsistency of the MLE and inference based on weighted LS for LARCH models ⋮ A note on portmanteau tests for conditional heteroscedastistic models ⋮ Residual-based rank specification tests for AR-GARCH type models ⋮ MTests with a New Normalization Matrix

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