Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals
From MaRDI portal
Publication:4673966
DOI10.1080/0094965031000104314zbMath1060.62097OpenAlexW2069244238MaRDI QIDQ4673966
Lajos Horváth, Gilles Teyssière, Piotr S. Kokoszka
Publication date: 9 May 2005
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/0094965031000104314
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Graphical methods in statistics (62A09)
Related Items (18)
Comparison of specification tests for GARCH models ⋮ Specification tests for the error distribution in GARCH models ⋮ Bootstrap specification tests for dynamic conditional distribution models ⋮ Serial independence tests for innovations of conditional mean and variance models ⋮ Bootstrap based probability forecasting in multiplicative error models ⋮ Testing for bubbles and change-points ⋮ On the detection of changes in autoregressive time series. II: Resampling procedures ⋮ Testing for parameter constancy in GARCH\((p,q)\) models ⋮ Fitting an error distribution in some heteroscedastic time series models ⋮ Misspecification Testing for the Conditional Distribution Model in GARCH-Type Processes ⋮ On the empirical characteristic function process of the residuals in GARCH models and applications ⋮ Simulation and Estimation of the Meixner Distribution ⋮ A comparison of alternative techniques for selecting an optimum ARCH model ⋮ Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance ⋮ A note on non-parametric testing for Gaussian innovations in AR-ARCH models ⋮ Empirical process of the squared residuals of an ARCH sequence ⋮ A Goodness-of-Fit Test for a Class of Autoregressive Conditional Duration Models ⋮ Tests for time series of counts based on the probability-generating function
This page was built for publication: Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals
