A note on Jarque-Bera normality test for ARMA-GARCH innovations
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Publication:744734
DOI10.1016/j.jkss.2011.05.006zbMath1296.62175OpenAlexW2087812117MaRDI QIDQ744734
Publication date: 26 September 2014
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jkss.2011.05.006
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: hypothesis testing (62M07)
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Cites Work
- NM-QELE for ARMA-GARCH models with non-Gaussian innovations
- Stationarity of GARCH processes and of some nonnegative time series
- GARCH processes: structure and estimation
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- On residual empirical processes of stochastic regression models with applications to time series
- Stationarity and the existence of moments of a family of GARCH processes.
- On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
- On some global measures of the deviations of density function estimates
- High moment partial sum processes of residuals in GARCH models and their applications
- A note on the Jarque-Bera normality test for GARCH innovations
- Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes
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