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conditions for the ergodicity of the model, potentially applying to a larger class of threshold models, are provided. The linear …
Persistent link: https://www.econbiz.de/10005791372
This paper derives the asymptotic distribution for a number of rank-based and classical residual specification tests in AR-GARCH type models. We consider tests for the null hypotheses of no linear and quadratic serial residual autocorrelation, residual symmetry, and no structural breaks. For...
Persistent link: https://www.econbiz.de/10011084012