In this paper we propose a goodness of fit test that checks the resemblance of the spectral density of a GARCH process to that of the log-returns. The asymptotic behavior of the test statistics are given by a functional central limit theorem for the integrated periodogram of the data. A...

We compare various kinds of independence tests on samples with random size, in order to provide practitioners with some guidance for their choice based on approximate Bahadur efficiency. Such results are obtained for a wide class of distributions of random index; the efficiency slopes of the...