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Journal of Statistical Computation and Simulation Volume 87, 2017 - Issue 10
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Original Articles

Empirical characteristic function tests for GARCH innovation distribution using multipliers

María Dolores Jiménez-GameroDepartamento de Estadística e I.O., Universidad de Sevilla, SpainCorrespondence[email protected]
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Juan Carlos Pardo-FernándezDepartamento de Estatística e I.O., Universidade de Vigo, SpainView further author information
Pages 2069-2093 | Received 18 Jul 2016, Accepted 27 Mar 2017, Published online: 11 Apr 2017

Citations (5)

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Gustavo-Ignacio Rivas Martínez & María-Dolores Jiménez-Gamero. (2021) Computationally efficient approximations for independence tests in non-parametric regression. Journal of Statistical Computation and Simulation 91:6, pages 1134-1154.
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Articles from other publishers (4)

M. Dolores Jiménez-Gamero, Sangyeol Lee & Simos G. Meintanis. (2019) Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models. TEST 29:3, pages 682-703.
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Kai Song, Qingqing Jin, Gong Chen, Liping Yan, Yi Zhang & Xianchao Wang. (2020) Algorithm on Higher-Order Derivative Based on Ternary Optical Computer. IEEE Access 8, pages 64499-64513.
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Norbert Henze, M. Dolores Jiménez–Gamero & Simos G. Meintanis. (2018) CHARACTERIZATIONS OF MULTINORMALITY AND CORRESPONDING TESTS OF FIT, INCLUDING FOR GARCH MODELS. Econometric Theory 35:03, pages 510-546.
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Norbert Henze & María Dolores Jiménez-Gamero. (2018) A new class of tests for multinormality with i.i.d. and garch data based on the empirical moment generating function. TEST 28:2, pages 499-521.
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