Fiorentini, Gabriele; Sentana, Enrique - In: Quantitative economics : QE ; journal of the … 12 (2021) 3, pp. 683-742
We propose generalized DWH specification tests which simultaneously compare three or more likelihood-based estimators in multivariate conditionally heteroskedastic dynamic regression models. Our tests are useful for Garch models and in many empirically relevant macro and finance applications...