Tolga, Ergun A.; Jongbyung, Jun - In: Studies in Nonlinear Dynamics & Econometrics 14 (2010) 3, pp. 1-21
Recently, there has been much interest in modeling time-varying higher-order conditional moments in the density estimation context. These studies employ a moment-based methodology to test their specification of higher-order conditional moments. We compare the size and power of these moment-based...