A model specification test for GARCH(1,1) processes


Leucht, Anne ; Neumann, Michael H. ; Kreiss, Jens-Peter


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URL: https://ub-madoc.bib.uni-mannheim.de/35107
URN: urn:nbn:de:bsz:180-madoc-351076
Document Type: Working paper
Year of publication: 2013
The title of a journal, publication series: Working Paper Series
Volume: 13-11
Place of publication: Mannheim
Publication language: English
Institution: School of Law and Economics > VWL, Theoretische Ökonometrie u. Statistik (Juniorprofessur) (Leucht 2013-14)
MADOC publication series: Department of Economics > Working Paper Series
Subject: 330 Economics
Classification: JEL: C12,
Keywords (English): Bootstrap , Cramér-von Mises test , GARCH processes , V-statistic
Abstract: We provide a consistent specification test for GARCH(1,1) models based on a test statistic of Cramér-von Mises type. Since the limit distribution of the test statistic under the null hypothesis depends on unknown quantities in a complicated manner, we propose a model-based (semiparametric)bootstrap method to approximate critical values of the test and verify its asymptotic validity. Finally, we illuminate the finite sample behavior of the test by some simulations.

Dieser Eintrag ist Teil der Universitätsbibliographie.

Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




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Leucht, Anne ; Neumann, Michael H. ; Kreiss, Jens-Peter (2013) A model specification test for GARCH(1,1) processes. Open Access Working Paper Series Mannheim 13-11 [Working paper]
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