کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4664696 | 1345305 | 2009 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Testing the adequacy of GARCH-type models in time series
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Testing the adequacy of GARCH-type models in time series Testing the adequacy of GARCH-type models in time series](/preview/png/4664696.png)
چکیده انگلیسی
In this article a new approach for checking the adequacy of GARCH-type models in time series was proposed. The resulted tests involve weight functions, which provide them with the flexibility in choosing scores to enhance power performance. The choice of weight functions and the power properties of the tests are studied. For a large number of alternatives, asymptotically distribution-free maximin test is constructed. The tests are asymptotically chi-squared under the null hypothesis and easy to implement. Simulation results indicate that the tests perform well.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Acta Mathematica Scientia - Volume 29, Issue 2, March 2009, Pages 327-340
Journal: Acta Mathematica Scientia - Volume 29, Issue 2, March 2009, Pages 327-340