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Specification tests for the error distribution in GARCH models · Study

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ArticleSpecification tests for the error distribution in GARCH models

Bernhard Klar2010

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Specification tests for the error distribution in GARCH models

Bernhard Klar · Simos G. Meintanis

39 citations·0/0 files stored·Computational Statistics & Data Analysis

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Statistical Distribution Estimation and Applications

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References

1986Generalized autoregressive conditional heteroskedasticity 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 1986Generalized autoregressive conditional heteroscedasticity 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?2004Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes 1992Stationarity of Garch processes and of some nonnegative time series 2003GARCH processes: structure and estimation

Cited by

2018CHARACTERIZATIONS OF MULTINORMALITY AND CORRESPONDING TESTS OF FIT, INCLUDING FOR GARCH MODELS 2019Effective energy commodity risk management: Econometric modeling of price volatility 2013Comparison of specification tests for GARCH models 2016Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability

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Year2010

Typearticle

Published2010-06-14

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations39

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.csda.2010.05.029

openalex_workW2091929145

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