A goodness-of-fit test for GARCH innovation density
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- repec:taf:gnstxx:v:20:y:2008:i:1:p:47-60 is not listed on IDEAS
- 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.
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- 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.
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KeywordsL 2 difference of densities;
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