Klar, B.; Lindner, F.; Meintanis, S.G. - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3587-3598
Goodness-of-fit and symmetry tests are proposed for the innovation distribution in generalized autoregressive conditionally heteroscedastic models. The tests utilize an integrated distance involving the empirical characteristic function (or the empirical Laplace transform) computed from properly...