✦ LIBER ✦

Comparison of specification tests for GARCH models

✍ Scribed by Ghoudi, Kilani; Rémillard, Bruno

Book ID: 122752810
Publisher: Elsevier Science
Year: 2014
Tongue: English
Weight: 381 KB
Volume: 76
Category: Article
ISSN: 0167-9473
DOI: 10.1016/j.csda.2013.03.009

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Specification tests for the error distri

Specification tests for the error distribution in GARCH models

✍ B. Klar; F. Lindner; S.G. Meintanis 📂 Article 📅 2012 🏛 Elsevier Science 🌐 English ⚖ 356 KB

The specification of GARCH models with s

The specification of GARCH models with stochastic covariates

✍ Jeff Fleming; Chris Kirby; Barbara Ostdiek 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 238 KB

## Abstract A number of studies investigate whether various stochastic variables explain changes in return volatility by specifying the variables as covariates in a GARCH(1, 1) or EGARCH(1, 1) model. The authors show that these models impose an implicit constraint that can obscure the true role of

Misspecification tests for periodic long

Misspecification tests for periodic long memory GARCH models

✍ Massimiliano Caporin; Francesco Lisi 📂 Article 📅 2009 🏛 Springer 🌐 English ⚖ 228 KB

Can portmanteau nonlinearity tests serve

Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models

✍ Chris Brooks; Ólan T Henry 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 55 KB

A comparison of GARCH models for VaR est

A comparison of GARCH models for VaR estimation

✍ Mehmet Orhan; Bülent Köksal 📂 Article 📅 2012 🏛 Elsevier Science 🌐 English ⚖ 879 KB

Semi-Parametric Specification Tests for

Semi-Parametric Specification Tests for Discrete Probability Models

✍ Yue Fang 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 103 KB