Robust parametric tests of constant conditional correlation in a MGARCH model
نویسندگان
چکیده
منابع مشابه
Variance clustering improved dynamic conditional correlation MGARCH estimators
It is well-known that the estimated GARCH dynamics exhibit common patterns. Starting from this fact we extend the Dynamic Conditional Correlation (DCC) model by allowing for a clustering structure of the univariate GARCH parameters. The model can be estimated in two steps, the first devoted to the clustering structure, and the second focusing on correlation parameters. Differently from the trad...
متن کاملConditional Moment Tests for Parametric Duration Models
This paper develops and compares specification tests for parametric duration models estimated with censored data. The tests are based on generalized residuals (the integrated hazard), which is exponentially distributed if the model is correctly specified. I present several conditional moment tests based on the generalized residuals: a raw moments test, a test based on Laguerre polynomials, and ...
متن کاملIntegrated Conditional Moment Tests for Parametric Conditional Distributions
This paper extends the Integrated Conditional Moment (ICM) test for the functional form of nonlinear regression models to tests for parametric conditional distributions. This test is formed on the basis of the integrated squared difference between the empirical characteristic function of the actual data and the characteristic function implied by the model. This test is consistent, and has nontr...
متن کاملthe washback effect of discretepoint vs. integrative tests on the retention of content in knowledge tests
در این پایان نامه تاثیر دو نوع تست جزیی نگر و کلی نگر بر به یادسپاری محتوا ارزیابی شده که نتایج نشان دهندهکارایی تستهای کلی نگر بیشتر از سایر آزمونها است
15 صفحه اولRobust tests for testing the parameters of a normal population
This article aims to provide a simple robust method to test the parameters of a normal population by using the new diagnostic tool called the “Forward Search” (FS) method. The most commonly used procedures to test the mean and variance of a normal distribution are Student’s t test and Chi-square test, respectively. These tests suffer from the presence of outliers. We introduce the FS version of...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Econometric Reviews
سال: 2016
ISSN: 0747-4938,1532-4168
DOI: 10.1080/07474938.2015.1122120