Ontology type: schema:ScholarlyArticle
2018-03
AUTHORSChristian Francq, Olivier Wintenberger, Jean-Michel Zakoïan
ABSTRACTThis paper studies goodness-of-fit tests and specification tests for an extension of the Log-GARCH model, which is both asymmetric and stable by scaling. A Lagrange-multiplier test is derived for testing the extended Log-GARCH against more general formulations taking the form of combinations of Log-GARCH and exponential GARCH (EGARCH). The null assumption of an EGARCH is also tested. Portmanteau goodness-of-fit tests are developed for the extended Log-GARCH. An application to real financial data is proposed. More... »
PAGES27-51
http://scigraph.springernature.com/pub.10.1007/s11749-016-0506-2
DOIhttp://dx.doi.org/10.1007/s11749-016-0506-2
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