Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
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Publication:888322
DOI10.1016/j.jeconom.2015.03.025zbMath1337.62248OpenAlexW2019133152MaRDI QIDQ888322
Publication date: 30 October 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://mpra.ub.uni-muenchen.de/50487/1/MPRA_paper_50487.pdf
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (6)
The ZD-GARCH model: a new way to study heteroscedasticity ⋮ Frontiers in time series and financial econometrics: an overview ⋮ Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models ⋮ Bootstrap Inference for Garch Models by the Least Absolute Deviation Estimation ⋮ Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models ⋮ Adaptive quasi-maximum likelihood estimation of GARCH models with Student’stlikelihood
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