Article (Scientific journals)
A diagnostic m-test for distributional specification of parametric conditional heteroscedasticity models for financial data
Lejeune, Bernard
2009In Journal of Empirical Finance, 16 (3), p. 507-523
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Keywords :
Parametric conditional heteroscedasticity models; Distributional specification test; m-testing
Abstract :
[en] This paper proposes a convenient and generally applicable diagnostic m-test for checking the distributional specification of parametric conditional heteroscedasticity models for financial data such as the customary Student t GARCH model. The proposed test is based on the moments of the probability integral transform of the innovations of the assumed model. Monte-Carlo evidence indicates that our test performs well both in terms of size and power. An empirical example illustrates the practical usefulness of the test and some of its possible extensions are outlined.
Disciplines :
Quantitative methods in economics & management
Author, co-author :
Lejeune, Bernard ;  Université de Liège - ULiège > HEC - École de gestion de l'ULiège > Economie politique et microéconomie appliquée
Language :
English
Title :
A diagnostic m-test for distributional specification of parametric conditional heteroscedasticity models for financial data
Publication date :
2009
Journal title :
Journal of Empirical Finance
ISSN :
0927-5398
Publisher :
Elsevier Science
Volume :
16
Issue :
3
Pages :
507-523
Peer reviewed :
Peer Reviewed verified by ORBi
Available on ORBi :
since 08 April 2009

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