Testing the adequacy of GARCH-type models in time series

DOI10.1016/S0252-9602(09)60033-3zbMath1189.62148MaRDI QIDQ846855

Li Xing Zhu, Jian-hong Wu

Publication date: 12 February 2010

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

zbMATH Keywords

model diagnosticsscore type testsmaximin tests

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Asymptotic properties of parametric tests (62F05)

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