Browsing Τμήμα Οικονομικών / Department of Economics by Subject "Model misspecification"
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Article
Residual-based rank specification tests for AR-GARCH type models
(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 ...