Specification testing in nonparametric AR‐ARCH models

DOI10.1111/sjos.12337zbMath1417.62247arXiv1610.03215OpenAlexW2962799779MaRDI QIDQ4629272

Marie Hušková, Tobias Niebuhr, Natalie Neumeyer, Leonie Selk

Publication date: 21 March 2019

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.03215

zbMATH Keywords

kernel estimationempirical characteristic functionautoregressionconditional heteroscedasticitytesting independencenonparametric CHARN model

Mathematics Subject Classification ID

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

Uses Software

• R
• RMetrics
• timeSeries

Cites Work

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