Narrow search
Showing 1 - 3 of 3
Cover Image
Comparison of specification tests for GARCH models
Ghoudi, Kilani; Rémillard, Bruno - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 291-300
empirical processes based on the standardized residuals and their squares. For calculating P-values, the parametric bootstrap …, using both the standardized residuals and their squares. …
Persistent link: https://www.econbiz.de/10010776993
Cover Image
On the empirical characteristic function process of the residuals in GARCH models and applications
Gamero, M. Jiménez - In: TEST: An Official Journal of the Spanish Society of … 23 (2014) 2, pp. 409-432
residuals. Specifically, it is shown that such process uniformly converges to the population characteristic function (CF) of the … to calculate the residuals. Applications of the obtained results for testing symmetry and goodness-of-fit to the law of …
Persistent link: https://www.econbiz.de/10010994239
Cover Image
On the use of nonparametric regression for model checking
Azzalini, A.; Bowman, A.W.; Haerdle, W. - University of Bonn, Germany - 1988
Persistent link: https://www.econbiz.de/10005028222