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Amado, Cristina; Teräsvirta, Timo - 2011

Persistent link: https://www.econbiz.de/10008779696

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Andreou, Elena; Werker, Bas J. M. - In: Journal of econometrics 185 (2015) 2, pp. 305-331

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Specification tests for GARCH processes

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Testing constancy of unconditional variance in volatility models by misspecification and specification tests

Silvennoinen, Annastiina; Teräsvirta, Timo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 4, pp. 347-364

Persistent link: https://www.econbiz.de/10011649097

Testing constancy of unconditional variance in volatility models by misspecification and specification tests

Silvennoinen, Annastiina; Teräsvirta, Timo - 2015

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Nonparametric regression on latent covariates with an application to semiparametric GARCH-in-Mean models

Conrad, Christian; Mammen, Enno - 2008

We consider time series models in which the conditional mean of the response variable given the past depends on latent covariates. We assume that the covariates can be estimated consistently and use an iterative nonparametric kernel smoothing procedure for estimating the conditional mean...

Persistent link: https://www.econbiz.de/10003747376

Residual-based rank specification tests for ar-garch type models

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Persistent link: https://www.econbiz.de/10010188663

Risk quantification and validation for Bitcoin

Jiménez, Inés; Mora-Valencia, Andrés; Perote, Javier - In: Operations research letters 48 (2020) 4, pp. 534-541

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A general approach to conditional moment specification testing with projections

Wang, Xuexin - In: Econometric reviews 37 (2018) 1/5, pp. 140-165

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