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A goodness-of-fit test for GARCH innovation density

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  • Hira Koul
  • Nao Mimoto

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  • Hira Koul & Nao Mimoto, 2012. "A goodness-of-fit test for GARCH innovation density," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 75(1), pages 127-149, January.
  • Handle: RePEc:spr:metrik:v:75:y:2012:i:1:p:127-149
    DOI: 10.1007/s00184-010-0318-4
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    References listed on IDEAS

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    1. Fuxia Cheng, 2008. "Asymptotic properties in ARCH(p)-time series," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 20(1), pages 47-60.
    2. Bachmann, Dirk & Dette, Holger, 2005. "A note on the Bickel-Rosenblatt test in autoregressive time series," Statistics & Probability Letters, Elsevier, vol. 74(3), pages 221-234, October.
    3. Lee, Sang-Won & Hansen, Bruce E., 1994. "Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator," Econometric Theory, Cambridge University Press, vol. 10(1), pages 29-52, March.
    4. Lumsdaine, Robin L, 1996. "Consistency and Asymptotic Normality of the Quasi-maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models," Econometrica, Econometric Society, vol. 64(3), pages 575-596, May.
    5. Mimoto, Nao, 2008. "Convergence in distribution for the sup-norm of a kernel density estimator for GARCH innovations," Statistics & Probability Letters, Elsevier, vol. 78(7), pages 915-923, May.
    6. Bougerol, Philippe & Picard, Nico, 1992. "Stationarity of Garch processes and of some nonnegative time series," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 115-127.
    7. Horváth, Lajos & Zitikis, Ričardas, 2006. "Testing Goodness Of Fit Based On Densities Of Garch Innovations," Econometric Theory, Cambridge University Press, vol. 22(3), pages 457-482, June.
    8. Nelson, Daniel B., 1990. "Stationarity and Persistence in the GARCH(1,1) Model," Econometric Theory, Cambridge University Press, vol. 6(3), pages 318-334, September.
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    Cited by:

    1. M. Jiménez Gamero, 2014. "On the empirical characteristic function process of the residuals in GARCH models and applications," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 409-432, June.
    2. Perera, Indeewara & Silvapulle, Mervyn J., 2023. "Bootstrap specification tests for dynamic conditional distribution models," Journal of Econometrics, Elsevier, vol. 235(2), pages 949-971.
    3. Fuxia Cheng & Hira L. Koul, 2023. "An analog of Bickel–Rosenblatt test for fitting an error density in the two phase linear regression model," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 86(1), pages 27-56, January.

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    L 2 difference of densities;

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