Normality test for multivariate conditional heteroskedastic dynamic regression models
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- Bruno Ebner & Norbert Henze, 2020. "Tests for multivariate normality—a critical review with emphasis on weighted $$L^2$$ L 2 -statistics," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(4), pages 845-892, December.
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Keywords
Jarque-Bera test Normality test Multivariate GARCH models Distribution free test;Statistics
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