Comparison of Specification Tests for GARCH Models

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2012 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

Copyright policy )Funded by:NSERC | unidentified

Authors: Kilani Ghoudi; Bruno N. Rémillard;

doi: 10.2139/ssrn.2046072 , 10.1016/j.csda.2013.03.009

Comparison of Specification Tests for GARCH Models

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Abstract

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Related Organizations

United Arab Emirates University
United Arab Emirates
HEC Montréal
Canada

Keywords

empirical processes, goodness of fit tests, GARCH models, squared residuals, residuals, Time series, auto-correlation, regression, etc. in statistics (GARCH), pseudo-observations, multipliers, Computational methods for problems pertaining to statistics, bootstrap, Nonparametric hypothesis testing

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