A simple approach to standardized-residuals-based higher-moment tests
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DOI: 10.1016/j.jempfin.2012.04.006
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- Bontemps, Christian, 2014. "Simple moment-based tests for value-at-risk models and discrete distribution," TSE Working Papers 14-535, Toulouse School of Economics (TSE).
- Perera, Indeewara & Silvapulle, Mervyn J., 2023. "Bootstrap specification tests for dynamic conditional distribution models," Journal of Econometrics, Elsevier, vol. 235(2), pages 949-971.
- Patrick Marsh, 2019. "Nonparametric conditional density specification testing and quantile estimation; with application to S&P500 returns," Discussion Papers 19/02, University of Nottingham, Granger Centre for Time Series Econometrics.
- Bontemps, Christian, 2013. "Moment-Based Tests for Discrete Distributions," IDEI Working Papers 772, Institut d'Économie Industrielle (IDEI), Toulouse, revised Oct 2014.
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More about this item
Keywords
Conditional distribution; Estimation effect; GARCH-type models; Higher-moment tests; Standardized errors;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
Statistics
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