Empirical characteristic function tests for GARCH innovation distribution using multipliers

DOI10.1080/00949655.2017.1313254OpenAlexW2606894191MaRDI QIDQ5106912

Juan Carlos Pardo-Fernández, M. Dolores Jiménez-Gamero

Publication date: 22 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11093/1030

zbMATH Keywords

consistencyweighted bootstrapcharacteristic functionintegral transformationgoodness-of-fitGARCH model

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (4)

Computationally efficient approximations for independence tests in non-parametric regression ⋮ Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models ⋮ CHARACTERIZATIONS OF MULTINORMALITY AND CORRESPONDING TESTS OF FIT, INCLUDING FOR GARCH MODELS ⋮ A new class of tests for multinormality with i.i.d. And garch data based on the empirical moment generating function

Uses Software

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Cites Work

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