Robust maximum entropy test for GARCH models based on a minimum density power divergence estimator
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DOI: 10.1016/j.econlet.2017.11.003
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References listed on IDEAS
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More about this item
Keywords
Entropy-based goodness-of-fit test; Normality test; GARCH models; Minimum density power divergence estimator; Parametric bootstrap method;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Statistics
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