A goodness-of-fit test for GARCH innovation density
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- Bachmann, Dirk & Dette, Holger, 2005. "A note on the Bickel-Rosenblatt test in autoregressive time series," Statistics & Probability Letters, Elsevier, pages 221-234.
- 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(01), pages 29-52, March.
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- Mimoto, Nao, 2008. "Convergence in distribution for the sup-norm of a kernel density estimator for GARCH innovations," Statistics & Probability Letters, Elsevier, pages 915-923.
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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, pages 409-432.
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KeywordsL 2 difference of densities;
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