کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5059954 1371794 2013 5 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On Jarque-Bera normality and cusum parameter change tests for BCTT-GARCH models
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
On Jarque-Bera normality and cusum parameter change tests for BCTT-GARCH models
چکیده انگلیسی

In this paper, we study the Jarque-Bera (JB) and cusum tests for the normality of innovations and parameter change in BCTT-GARCH models. In order to demonstrate the validity of JB normality and cusum parameter change tests, we derive their limiting null distributions under mild conditions.

► The Box-Cox transformed threshold GARCH models were considered for leverage effect of financial time series. ► We studied two different tests for the normality of innovations and parameter change. ► Asymptotic distributions of two tests are derived for their validation. ► Asymptotic distributions of two tests based on residuals are identical to the one based on true innovations.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economics Letters - Volume 119, Issue 1, April 2013, Pages 50-54
نویسندگان
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