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Specification tests for GARCH processes with nuisance parameters on the boundary

Cavaliere, Giuseppe; Perera, Indeewara; Rahbek, Anders - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 1, pp. 197-214

Persistent link: https://www.econbiz.de/10014449910

Residual-based rank specification tests for AR-GARCH type models

Andreou, Elena; Werker, Bas J. M. - In: Journal of econometrics 185 (2015) 2, pp. 305-331

Persistent link: https://www.econbiz.de/10011348447

Testing constancy of unconditional variance in volatility models by misspecification and specification tests

Silvennoinen, Annastiina; Teräsvirta, Timo - 2015

Persistent link: https://www.econbiz.de/10011373232

Testing constancy of unconditional variance in volatility models by misspecification and specification tests

Silvennoinen, Annastiina; Teräsvirta, Timo - 2015

Persistent link: https://www.econbiz.de/10011777143

Testing constancy of unconditional variance in volatility models by misspecification and specification tests

Silvennoinen, Annastiina; Teräsvirta, Timo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 4, pp. 347-364

Persistent link: https://www.econbiz.de/10011649097

Mixed-scale jump regressions with bootstrap inference

Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Chen, Rui - In: Journal of econometrics 201 (2017) 2, pp. 417-432

Persistent link: https://www.econbiz.de/10011920538

Identification-robust estimation and testing of the zero-beta CAPM

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - In: The review of economic studies 80 (2013) 3, pp. 892-924

Persistent link: https://www.econbiz.de/10010204244

A model specification test for GARCH(1,1) processes

Leucht, Anne; Neumann, Michael H.; Kreiß, Jens-Peter - 2013

manner, we propose a model-based (semiparametric)bootstrap method to approximate critical values of the test and verify its …

Persistent link: https://www.econbiz.de/10011490275

Variation-based tests for volatility misspecification

Papanicolaou, Alex; Giesecke, Kay - In: Journal of econometrics 191 (2016) 1, pp. 217-230

Persistent link: https://www.econbiz.de/10011598102

A simple test for causality in volatility

Chang, Chia-Lin; McAleer, Michael - 2016

An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or volatility) associated with financial returns, was the portmanteau statistic for non-causality in variance of Cheng and Ng (1996). A subsequent development was the Lagrange...

Persistent link: https://www.econbiz.de/10011556246