Specification tests for GARCH processes
by Giuseppe Cavaliere, Indeewara Perera & Anders Rahbek
| Year of publication: |
[2021]
|
|---|---|
| Authors: | Cavaliere, Giuseppe ; Perera, Indeewara ; Rahbek, Anders |
| Publisher: |
Copenhagen, Denmark : Department of Economics, University of Copenhagen |
| Subject: | GARCH model | Bootstrap | Specification test | Kolmogorov-Smirnov test | Cramérvon Mises test | Marked empirical process | Nuisance parameters on the boundary | ARCH-Modell | ARCH model | Bootstrap-Verfahren | Bootstrap approach | Statistischer Test | Statistical test | Schätztheorie | Estimation theory | Modellierung | Scientific modelling | Börsenkurs | Share price | Stochastischer Prozess | Stochastic process |
freely available