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A simple approach to standardized-residuals-based higher-moment tests

✍ Scribed by Yi-Ting Chen


Book ID
116641848
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
452 KB
Volume
19
Category
Article
ISSN
0927-5398

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A unified approach to standardized-resid
✍ Yi-Ting Chen 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 220 KB

## Abstract In this paper, we propose a unified approach to generating standardized‐residuals‐based correlation tests for checking GARCH‐type models. This approach is valid in the presence of estimation uncertainty, is robust to various standardized error distributions, and is applicable to testing