dc.creator | Jiménez Gamero, María Dolores | es |
dc.creator | Pardo Fernández, Juan Carlos | es |
dc.date.accessioned | 2022-10-21T09:44:19Z | |
dc.date.available | 2022-10-21T09:44:19Z | |
dc.date.issued | 2017 | |
dc.identifier.citation | Jiménez Gamero, M.D. y Pardo Fernández, J.C. (2017). Empirical characteristic function tests for GARCH innovation distribution using multipliers. Journal of statistical computation and simulation, 87 (10), 2069-2093. https://doi.org/10.1080/00949655.2017.1313254. | |
dc.identifier.issn | 0094-9655 | es |
dc.identifier.issn | 1563-5163 | es |
dc.identifier.uri | https://hdl.handle.net/11441/138222 | |
dc.description.abstract | Goodness-of-fit tests for the innovation distribution in GARCH models
based on measuring deviations between the empirical characteristic function of the residuals and the characteristic function under the null hypothesis have been proposed in the literature. The asymptotic distributions
of these test statistics depend on unknown quantities, so their null distributions are usually estimated through parametric bootstrap (PB). Although
easy to implement, the PB can become very computationally expensive
for large sample sizes, which is typically the case in applications of these
models. This work proposes to approximate the null distribution through
a weighted bootstrap. The procedure is studied both theoretically and
numerically. Its asymptotic properties are similar to those of the PB, but,
from a computational point of view, it is more efficient. | es |
dc.format | application/pdf | es |
dc.format.extent | 26 p. | es |
dc.language.iso | eng | es |
dc.publisher | Taylor & Francis | es |
dc.relation.ispartof | Journal of statistical computation and simulation, 87 (10), 2069-2093. | |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internacional | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | * |
dc.subject | Characteristic function | es |
dc.subject | Consistency | es |
dc.subject | GARCH model | es |
dc.subject | Goodness-of-fit | es |
dc.subject | Integral transformation | es |
dc.subject | Weighted bootstrap | es |
dc.title | Empirical characteristic function tests for GARCH innovation distribution using multipliers | es |
dc.type | info:eu-repo/semantics/article | es |
dcterms.identifier | https://ror.org/03yxnpp24 | |
dc.type.version | info:eu-repo/semantics/publishedVersion | es |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | es |
dc.contributor.affiliation | Universidad de Sevilla. Departamento de Estadística e Investigación Operativa | es |
dc.relation.publisherversion | http://dx.doi.org/10.1080/00949655.2017.1313254 | es |
dc.identifier.doi | 10.1080/00949655.2017.1313254 | es |
dc.journaltitle | Journal of statistical computation and simulation | es |
dc.publication.volumen | 87 | es |
dc.publication.issue | 10 | es |
dc.publication.initialPage | 2069 | es |
dc.publication.endPage | 2093 | es |