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On the validity of the Jarque–Bera normality test in conditionally heteroskedastic dynamic regression models

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References

1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
1995All in the family Nesting symmetric and asymmetric GARCH models723 cited
1995Quadratic ARCH Models559 cited
2004Testing normality: a GMM approach176 cited

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2018Brent crude oil prices volatility during major crises77 cited
2009Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations32 cited
2015Volatility transmission and volatility impulse response functions among the Greater China stock markets26 cited
2019Normality tests for latent variables13 cited

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