On the empirical characteristic function process of the residuals in GARCH models and applications
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s11749-014-0359-5.pdf
Reference51 articles.
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3. Bai J, Chen Z (2008) Testing multivariate distributions in GARCH models. J Econom 143:19–36
4. Baringhaus L, Henze N (1988) A consistent test for multivariate normality based on the empirical characteristic function. Metrika 35:339–348
5. Berkes I, Horváth L (2001) Strong approximation of the empirical process of GARCH sequences. Ann Appl Probab 11:789–809
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