Serial independence tests for innovations of conditional mean and variance models

Published 2016 View Full Article

Authors

Keywords

Independence tests, Serial independence, Randomness, GARCH models, Residuals, Squared residuals, Empirical processes, Empirical copula, Multipliers, Bootstrap, Primary 60F05, Secondary 62G09, 62G30

Journal

TEST

Volume 27, Issue 1, Pages 3-26

Publisher

Springer Nature

Online

2016-12-21

DOI

10.1007/s11749-016-0521-3

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