Now showing items 1-2 of 2

    • Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models 

      Jiménez-Gamero, M. Dolores; Meintanis, Simos G.; Lee, Sangyeol (Springer, 2020)
      We consider a goodness-of-fit test for certain parametrizations of conditionally heteroscedastic time series with unobserved components. Our test is quite general in that it can be employed to validate any given specification ...
    • Goodness-of-fit tests in conditional duration models 

      Meintanis, Simos G.; Milošević, Bojana; Obradović, Marko (Springer, 2020)
      We propose specification tests for the innovation distribution in conditional duration models. The new tests are based either on the cumulative distribution function, or on exponential transforms such as the Laplace transform ...