Reference : A diagnostic m-test for distributional specification of parametric conditional heterosce...
Scientific congresses and symposiums : Unpublished conference
Business & economic sciences : Quantitative methods in economics & management
http://hdl.handle.net/2268/10861
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 >]
26-Aug-2002
10
Yes
No
International
Econometric Society European Meeting
25 août - 28 août 2002
Econometric Society
Venise
Italie
[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 estimated innovations of the assumed model. Monte-Carlo evidence indicates that our suggested test performs well both in terms of size and power.
Researchers
http://hdl.handle.net/2268/10861

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