Changes of structure in financial time series and the Garch model
In this paper we propose a goodness of fit test that checks the resemblance of the spectral density of a GARCH process to that of the log-returns. The asymptotic behavior of the test statistics are given by a functional central limit theorem for the integrated periodogram of the data. A simulation...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Instituto Nacional de Estatística | Statistics Portugal
2004-06-01
|
| Series: | Revstat Statistical Journal |
| Subjects: | |
| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/8 |