Bootstrap specification tests for dynamic conditional distribution models

Perera, I. and Silvapulle, M. (2023) Bootstrap specification tests for dynamic conditional distribution models. Journal of Econometrics, 235 (2). pp. 949-971. ISSN 0304-4076

Abstract

Metadata

Item Type: Article
Authors/Creators:
  • Perera, I.
  • Silvapulle, M.
Copyright, Publisher and Additional Information:

© 2022 Elsevier B.V. This is an author produced version of a paper subsequently published in Journal of Econometrics. Uploaded in accordance with the publisher's self-archiving policy. Article available under the terms of the CC-BY-NC-ND licence (https://creativecommons.org/licenses/by-nc-nd/4.0/).

Keywords: GARCH; Goodness-of-fit; Residual empirical process; Kolmogorov–Smirnov test; Lack-of-fit test; Stochastic recurrence equations
Dates:
  • Published: August 2023
  • Published (online): 24 September 2022
  • Accepted: 20 August 2022
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Social Sciences (Sheffield) > Department of Economics (Sheffield)
Depositing User: Symplectic Sheffield
Date Deposited: 26 Sep 2022 11:18
Last Modified: 25 Sep 2024 11:49
Status: Published
Publisher: Elsevier
Refereed: Yes
Identification Number: 10.1016/j.jeconom.2022.08.006
Open Archives Initiative ID (OAI ID):

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Filename: IP03 2027.pdf

Licence: CC-BY-NC-ND 4.0

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