Browsing by Author "fa119952-7c2b-46fb-8bf4-d200abec5a8f"
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Tests for conditional ellipticity in multivariate GARCH models
Francq, C.; Meintanis, S.G.; Jiménez-Gamero, M.D. (Elsevier, 2017)Tests are proposed for the assumption that the conditional distribution of a multivariate GARCH process is elliptic. These tests are of Kolmogorov–Smirnov and Cramér–von Mises-type and make use of the common geometry ...