Goodness-of-fit tests for Log-GARCH and EGARCH models
Author:
Funder
Labex Ecodec
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://link.springer.com/article/10.1007/s11749-016-0506-2/fulltext.html
Reference21 articles.
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2. Box GEP, Pierce DA (1970) Distribution of the residual autocorrelations in autoregressive-integrated moving average time series models. J Am Stat Assoc 65:1509–1526
3. Carbon M, Francq C (2011) Portmanteau goodness-of-fit test for asymmetric power GARCH models. Austrian J Stat 40:55–64
4. Escanciano JC (2010) Asymptotic distribution-free diagnostic tests for heteroskedastic time series models. Econom Theor 26:744–773
5. Francq C, Horváth L, Zakoïan JM (2010) Sup-tests for linearity in a general nonlinear AR(1) model. Econom Theor 26:965–993
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