Robust maximum entropy test for GARCH models based on a minimum density power divergence estimator
Byungsoo Kim
| Year of publication: |
January 2018
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|---|---|
| Authors: | Kim, Byungsoo |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 162.2018, p. 93-97
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| Subject: | Entropy-based goodness-of-fit test | Normality test | GARCH models | Minimum density power divergence estimator | Parametric bootstrap method | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Bootstrap-Verfahren | Bootstrap approach | Statistische Verteilung | Statistical distribution | Entropie | Entropy | Statistischer Test | Statistical test |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2017.11.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011939772