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Testing for Forecasting Poential in the Bispectrum.

Dewachter, H. - Centro de Estudios Monetarios y Financieros (CEMFI) - 1993

Persistent link: https://www.econbiz.de/10005625757

Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model

Sentana, E.; Fiorentini, G. - Centro de Estudios Monetarios y Financieros (CEMFI) - 1997

We investigate several important inference issues for factor models with dynamic heteroskedasticity in the common factors. First, we show that such models are identified if we take into account the time-variation in the variances of the factors. Our results also apply to dynamic versions of the...

Persistent link: https://www.econbiz.de/10005625772

The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality.

Fiorentini, G.; Sentana, E.; Calzolari, G. - Centro de Estudios Monetarios y Financieros (CEMFI) - 2000

regression models when the conditional distribution is multivariate t. We also derive one-sided and two-sided LM tests for … tests for multivariate excess kurtosis, and show that they have power against lepkurtic alternatives. Finally, we analyse UK …

Persistent link: https://www.econbiz.de/10005475104