On the empirical characteristic function process of the residuals in GARCH models and applications

DOI10.1007/s11749-014-0359-5zbMath1305.62135OpenAlexW2138138767MaRDI QIDQ2513933

M. Dolores Jiménez-Gamero

Publication date: 29 January 2015

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-014-0359-5

zbMATH Keywords

symmetrybootstrapGARCHempirical characteristic functiongoodness-of-fitresiduals

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Bootstrap, jackknife and other resampling methods (62F40) Probability distributions: general theory (60E05)

Related Items (10)

Comparison of symmetry tests against some skew-symmetric alternatives in i.i.d. and non-i.i.d. setting ⋮ Goodness-of-fit tests for semiparametric and parametric hypotheses based on the probability weighted empirical characteristic function ⋮ Comments on: ``Tests for multivariate normality -- a critical review with emphasis on weighted \(L^2\)-statistics ⋮ Nonparametric probability weighted empirical characteristic function and applications ⋮ Empirical characteristic function tests for GARCH innovation distribution using multipliers ⋮ A Monte Carlo evaluation of the performance of two new tests for symmetry ⋮ CHARACTERIZATIONS OF MULTINORMALITY AND CORRESPONDING TESTS OF FIT, INCLUDING FOR GARCH MODELS ⋮ Tests for conditional ellipticity in multivariate GARCH models ⋮ A new class of tests for multinormality with i.i.d. And garch data based on the empirical moment generating function ⋮ Fourier inference for stochastic volatility models with heavy-tailed innovations

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