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- W3121374120 abstract "This article investigates model checks for a class of possibly nonlinear heteroskedastic time series models, including but not restricted to ARMA-GARCH models. We propose omnibus tests based on functionals of certain weighted standardized residual empirical processes. The new tests are asymptotically distribution-free, suitable when the conditioning set is in?nite- dimensional, and consistent against a class of Pitman?s local alternatives converging at the parametric rate n??1=2; with n the sample size. A Monte Carlo study shows that the simulated level of the proposed tests is close to the asymptotic level already for moderate sample sizes and that tests have a satisfactory power performance. Finally, we illustrate our methodology with an application to the well-known S&P 500 daily stock index. The paper also contains an asymptotic uniform expansion for weighted residual empirical processes when initial conditions are considered, a result of independent interest." @default.
- W3121374120 created "2021-02-01" @default.
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- W3121374120 date "2009-09-01" @default.
- W3121374120 modified "2023-09-27" @default.
- W3121374120 title "Asymptotic Distribution-Free Diagnostic Tests For Heteroskedastic Time Series Models" @default.
- W3121374120 hasPublicationYear "2009" @default.
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