کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5095626 | 1376475 | 2017 | 48 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Tests for conditional ellipticity in multivariate GARCH models
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
Tests are proposed for the assumption that the conditional distribution of a multivariate GARCH process is elliptic. These tests are of Kolmogorov-Smirnov and Cramér-von Mises-type and make use of the common geometry underlying the characteristic function of any spherically symmetric distribution. The asymptotic null distribution of the test statistics as well as the consistency of the tests is investigated under general conditions. It is shown that both the finite sample and the asymptotic null distribution depend on the unknown distribution of the Euclidean norm of the innovations. Therefore a conditional Monte Carlo procedure is used to actually carry out the tests. The validity of this resampling scheme is formally justified. Results on the behavior of the new tests in finite-samples are included along with comparisons with other tests.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 196, Issue 2, February 2017, Pages 305-319
Journal: Journal of Econometrics - Volume 196, Issue 2, February 2017, Pages 305-319
نویسندگان
C. Francq, M.D. Jiménez-Gamero, S.G. Meintanis,