Score test of fit for composite hypothesis in the GARCH\((1,1)\) model
DOI10.1016/J.JSPI.2008.04.033zbMath1375.62004OpenAlexW1555448098MaRDI QIDQ958816
Publication date: 8 December 2008
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2008.04.033
Monte Carlo simulationscentral limit theoremconditional distributionmartingale difference arrayGARCH(1,1) modeldata-driven test of fitefficient score vectorGED familysquare-root consistent estimator
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05) Time series analysis of dynamical systems (37M10)
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Cites Work
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