A specification test for dynamic conditional distribution models with function-valued parameters
Author:
Affiliation:
1. Department of Applied Economics, Universitat de les Illes Balears, Palma de Mallorca, Spain;
2. Institute for Econometrics and Statistics, University of Cologne, Köln, Germany
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/07474938.2020.1761151
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1. A reduced form framework for modeling volatility of speculative prices based on realized variation measures
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3. A Conditional Kolmogorov Test
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