Unpublished conference/Abstract (Scientific congresses and symposiums)
A diagnostic m-test for distributional specification of parametric conditional heteroscedasticity models for financial data
Lejeune, Bernard
2002Econometric Society European Meeting
 

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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 estimated innovations of the assumed model. Monte-Carlo evidence indicates that our suggested test performs well both in terms of size and power.
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 :
26 August 2002
Number of pages :
10
Event name :
Econometric Society European Meeting
Event organizer :
Econometric Society
Event place :
Venise, Italy
Event date :
25 août - 28 août 2002
Audience :
International
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since 09 April 2009

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