The estimation for time series models with heavy-tailed innovations has been widely discussed in the literature, while the corresponding goodness-of-fit tests have attracted less attention. This is mainly because the commonly used autocorrelation function in constructing goodness-of-fit tests...

Estimating conditional quantiles of financial time series is essential for risk management and many other applications in finance. It is well-known that financial time series display conditional heteroscedasticity. Among the large number of conditional heteroscedastic models, the generalized...