Econometric Society 57th European Meeting
25th August 2002 - 28th August 2002, Venice, Italy

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A DIAGNOSTIC M-TEST FOR DISTRIBUTIONAL SPECIFICATION OF PARAMETRIC CONDITIONAL HETEROSCEDASTICITY MODELS FOR FINANCIAL DATA


Category: Econometrics
FINANCIAL ECONOMETRICS II
Sunday 25th August 2002, 14:30 - 16:00, Room: 4.1
Session Chair(s): Renee Fry, Queensland University of Technology, AUSTRALIA

Presenter(s): Lejeune, Bernard

Co-Author(s): none

Keyword(s): Distributional specification test, M-testing, Parametric conditional heteroscedasticity models

JEL(s): C12, C22, C52

Abstract:

This paper proposes a convenient and generally applicable diagnostic m-test for checking the distributional specification of parametric conditional heteroscedasticity models for financial data such as the customary student-t GARCH Model. The proposed test is based on the moments of the probability integral transform of the innovations of the assumed model. Monte-Carlo evidence indicates that our suggested test performs well both in terms of size and power.


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Paper Reference Number: 292

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57th European Meeting
25th August 2002 - 28th August 2002, Venice, Italy

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