Browsing Faculty of Natural and Agricultural Sciences by Subject "Extended CCC-GARCH"
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Tests for conditional ellipticity in multivariate GARCH models
(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 ...