Testing multivariate distributions in GARCH models
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- Jonas Dovern & Hans Manner, 2020.
"Order‐invariant tests for proper calibration of multivariate density forecasts,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 440-456, June.
- Jonas Dovern & Hans Manner, 2018. "Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts," Graz Economics Papers 2018-09, University of Graz, Department of Economics.
- Jonas Dovern & Hans Manner, 2018. "Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts," CESifo Working Paper Series 7023, CESifo.
- Dovern, Jonas & Manner, Hans, 2016. "Robust Evaluation of Multivariate Density Forecasts," VfS Annual Conference 2016 (Augsburg): Demographic Change 145547, Verein für Socialpolitik / German Economic Association.
- Francq, Christian & Jiménez Gamero, Maria Dolores & Meintanis, Simos, 2015. "Tests for sphericity in multivariate garch models," MPRA Paper 67411, University Library of Munich, Germany.
- João Henrique G. Mazzeu & Gloria González-Rivera & Esther Ruiz & Helena Veiga, 2020.
"A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities,"
Econometric Reviews, Taylor & Francis Journals, vol. 39(10), pages 971-990, November.
- Gloria Gonzalez-Rivera & Joao Henrique Mazzeu & Esther Ruiz & Helena Veiga, 2017. "A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities," Working Papers 201709, University of California at Riverside, Department of Economics.
- M. Jiménez Gamero, 2014. "On the empirical characteristic function process of the residuals in GARCH models and applications," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 409-432, June.
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"Specification tests for non‐Gaussian maximum likelihood estimators,"
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"Specification tests for nonlinear dynamic models,"
Econometrics Journal, Royal Economic Society, vol. 18(1), pages 67-94, February.
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- Igor Kheifets, 2014. "Specification Tests for Nonlinear Dynamic Models," Cowles Foundation Discussion Papers 1937, Cowles Foundation for Research in Economics, Yale University, revised Oct 2014.
- Igor Kheifets, 2014. "Specification Tests for Nonlinear Dynamic Models," Working Papers w0209, New Economic School (NES).
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- Igor Kheifets, 2011. "Goodness-of-fit testing (in Russian)," Quantile, Quantile, issue 9, pages 25-34, July.
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"Negative Volatility Spillovers In The Unrestricted Eccc-Garch Model,"
Econometric Theory, Cambridge University Press, vol. 26(3), pages 838-862, June.
- Christian Conrad & Menelaos Karanasos, 2008. "Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model," KOF Working papers 08-189, KOF Swiss Economic Institute, ETH Zurich.
- Karanasos, M. & Kartsaklas, A., 2009. "Dual long-memory, structural breaks and the link between turnover and the range-based volatility," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 838-851, December.
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- Lee, Sangyeol & Ng, Chi Tim, 2011. "Normality test for multivariate conditional heteroskedastic dynamic regression models," Economics Letters, Elsevier, vol. 111(1), pages 75-77, April.
- Chen, Bin & Hong, Yongmiao, 2014.
"A unified approach to validating univariate and multivariate conditional distribution models in time series,"
Journal of Econometrics,
Elsevier, vol. 178(P1), pages 22-44.
- Bin Chen & Yongmiao Hong, 2013. "A Unified Approach to Validating Univariate and Multivariate Conditional Distribution Models in Time Series," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
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"MGARCH models: Trade-off between feasibility and flexibility,"
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- Kheifets, Igor L., 2018. "Multivariate specification tests based on a dynamic Rosenblatt transform," Computational Statistics & Data Analysis, Elsevier, vol. 124(C), pages 1-14.
- Ko, Stanley I.M. & Park, Sung Y., 2013. "Multivariate density forecast evaluation: A modified approach," International Journal of Forecasting, Elsevier, vol. 29(3), pages 431-441.
- Dovern, Jonas & Manner, Hans, 2016. "Order Invariant Evaluation of Multivariate Density Forecasts," Working Papers 0608, University of Heidelberg, Department of Economics.
- González-Rivera, Gloria & Yoldas, Emre, 2012. "Autocontour-based evaluation of multivariate predictive densities," International Journal of Forecasting, Elsevier, vol. 28(2), pages 328-342.
- Donghang Luo & Ke Zhu & Huan Gong & Dong Li, 2020. "Testing error distribution by kernelized Stein discrepancy in multivariate time series models," Papers 2008.00747, arXiv.org.
- Lu, Xiaohui & Zheng, Xu, 2020. "A goodness-of-fit test for copulas based on martingale transformation," Journal of Econometrics, Elsevier, vol. 215(1), pages 84-117.
- Polanski, Arnold & Stoja, Evarist & Zhang, Ren, 2013. "Multidimensional risk and risk dependence," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3286-3294.
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