Tests for conditional ellipticity in multivariate GARCH models
C. Francq, M.D. Jiménez-Gamero, S.G. Meintanis
| Year of publication: |
February 2017
|
|---|---|
| Authors: | Francq, Christian ; Jiménez-Gamero, M. D. ; Meintanis, S. G. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 196.2017, 2, p. 305-319
|
| Subject: | MGARCH | Spherical symmetry | Empirical characteristic function | Conditional Monte Carlo test | Extended CCC-GARCH | ARCH-Modell | ARCH model | Monte-Carlo-Simulation | Monte Carlo simulation | Schätzung | Estimation | Statistischer Test | Statistical test | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2016.10.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011818298