Work

Goodness‐of‐Fit Tests for Multiplicative Models with Dependent Data

Year: 2009

Type: article

Abstract: . Several classical time series models can be written as a regression model between the components of a strictly stationary bivariate process. Some of those models, such as the ARCH models, share the property of proportionality of the regression function and the scale function, which is an interesting feature in econometric and financial models. In this article, we present a procedure to test for this feature in a non‐parametric context. The test is based on the difference between two non‐parametric estimators of the distribution of the regression error. Asymptotic results are proved and some simulations are shown in the paper in order to illustrate the finite sample properties of the procedure.

Source: Scandinavian Journal of Statistics

DOI: 10.1111/j.1467-9469.2009.00648.x

Authors: HOLGER DETTE, JUAN CARLOS PARDO‐FERNÁNDEZ, INGRID VAN KEILEGOM

Institutions: Ruhr University Bochum, Universidade de Vigo, UCLouvain

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: London School of Economics and Political Science, Deutsche Forschungsgemeinschaft, Universidade de Vigo, National Institutes of Health

Award: G312878881