Reference : A diagnostic m-test for distributional specification of parametric conditional hetero...
Scientific journals : Article
Business & economic sciences : Quantitative methods in economics & management
http://hdl.handle.net/2268/10775
A diagnostic m-test for distributional specification of parametric conditional heteroscedasticity models for financial data
English
Lejeune, Bernard mailto [Université de Liège - ULg > HEC - Ecole de gestion de l'ULg > Economie politique et microéconomie appliquée >]
2009
Journal of Empirical Finance
Elsevier Science
16
3
507-523
Yes (verified by ORBi)
International
0927-5398
[en] Parametric conditional heteroscedasticity models ; Distributional specification test ; m-testing
[en] This paper proposes a convenient and generally applicable diagnostic m-test for checking the distributional specification of parametric conditional heteroscedasticity models for financial data such as the customary Student t GARCH model. The proposed test is based on the moments of the probability integral transform of the innovations of the assumed model. Monte-Carlo evidence indicates that our test performs well both in terms of size and power. An empirical example illustrates the practical usefulness of the test and some of its possible extensions are outlined.
Researchers
http://hdl.handle.net/2268/10775

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