Ghoudi, Kilani; Rémillard, Bruno - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 291-300
Specification procedures for testing the null hypothesis of a Gaussian distribution for the innovations of GARCH models are compared using simulations. More precisely, Cramér–von Mises and Kolmogorov–Smirnov type statistics are computed for empirical processes based on the standardized...