The classical theory of rank-based inference is entirely based either on ordinary ranks, which do not allow for considering location nor intercept parameters, or on signed ranks, which require an assumption of symmetry. If the median, in the absence of a symmetry assumption, is considered as a...

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...