First-Order Asymptotic Theory For Parametric Misspecification Tests Of Garch Models
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- Andreea Halunga & Chris D. Orme, 2007. "First order asymptotic theory for parametric misspecification tests of GARCH models," The School of Economics Discussion Paper Series 0721, Economics, The University of Manchester.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Andreou, Elena & Werker, Bas J.M., 2015. "Residual-based rank specification tests for AR–GARCH type models," Journal of Econometrics, Elsevier, vol. 185(2), pages 305-331.
- Wasel Shadat, 2011. "On the Nonparametric Tests of Univariate GARCH Regression Models," The School of Economics Discussion Paper Series 1115, Economics, The University of Manchester.
- Wasel Shadat & Chris Orme, 2011. "An investigation of parametric tests of CCC assumption," The School of Economics Discussion Paper Series 1109, Economics, The University of Manchester.
- Elena Andreou & Bas J.M. Werker, 2014. "Residual-based Rank Specification Tests for AR-GARCH type models," University of Cyprus Working Papers in Economics 02-2014, University of Cyprus Department of Economics.
- Nektarios Aslanidis & Denise R. Osborn & Marianne Sensier, 2008.
"Co-movements between US and UK stock prices: the roles of macroeconomic information and time-varying conditional correlations,"
Centre for Growth and Business Cycle Research Discussion Paper Series
96, Economics, The Univeristy of Manchester.
- Nektarios Aslanidis & Denise R. Osborn & Marianne Sensier, 2008. "Comovements between US and UK stock prices: the roles of macroeconomic information and timevarying conditional correlations," The School of Economics Discussion Paper Series 0805, Economics, The University of Manchester.
- Conrad, Christian & Schienle, Melanie, 2015. "Misspeciﬁcation Testing in GARCH-MIDAS Models," Working Papers 0597, University of Heidelberg, Department of Economics.
- Conrad, Christian & Schienle, Melanie, 2015. "Misspecification Testing in GARCH-MIDAS Models," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112919, Verein für Socialpolitik / German Economic Association.
- Andreou, Elena & Werker, Bas J M, 2013. "Residual-based Rank Specification Tests for AR-GARCH type models," CEPR Discussion Papers 9583, C.E.P.R. Discussion Papers.
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