Browsing by Author "Werker, Bas J. M."
Andreou, Elena; Werker, Bas J. M. (2012)This paper presents an alternative method to derive the limiting distribution of residual-based statistics. Our method does not impose an explicit assumption of (asymptotic) smoothness of the statistic of interest with ...
Andreou, Elena; Werker, Bas J. M. (2015)This paper derives the asymptotic distribution for a number of rank-based and classical residual specification tests in AR-GARCH type models. We consider tests for the null hypotheses of no linear and quadratic serial ...
Andreou, Elena; Werker, Bas J. M. (2003)