Indeewara Perera
Dados Biográficos
| ID | 8920720 |
|---|---|
| NOME | Indeewara Perera |
| PRENOMES | Indeewara |
| SOBRENOME | Perera |
| ASSINATURA | PERERA I |
| AFILIAÇÕES | Department of Economics, The University of Sheffield, Sheffield, UK |
| ORCID | 0000-0002-7703-8168 |
| VERIFICADO | Sim |
| TOTAL DE OBRAS | 1 |
| TOTAL DE CITAÇÕES | 0 |
| OBRAS COMO AUTOR | 1 |
| OBRAS COMO EDITOR | 0 |
| PRIMEIRO ANO DE PUBLICAÇÃO | 2024 |
| ANO MAIS RECENTE DE PUBLICAÇÃO | 2024 |
| ÍNDICE H | 0 |
Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
This article develops tests for the correct specification of the conditional variance function in GARCH models when the true parameter may lie on the boundary of the parameter space. The test statistics considered are of Kolmogorov-Smirnov and Cramér-von Mises type, and are based on empirical processes marked by centered squared residuals. The limiting distributions of the test statistics depend on unknown nuisance parameters in a nontrivial way,…
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Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
This article develops tests for the correct specification of the conditional variance function in GARCH models when the true parameter may lie on the boundary of the parameter space. The test statistics considered are of Kolmogorov-Smirnov and Cramér-von Mises type, and are based on empirical processes marked by centered squared residuals. The limiting distributions of the test statistics depend on unknown nuisance parameters in a nontrivial way,…
Applied Mathematics (1 obra) · Autoregressive conditional heteroskedasticity (1 obra) · Econometrics (1 obra) · Financial Risk and Volatility Modeling (1 obra) · Mathematical analysis (1 obra) · Mathematics (1 obra) · Nuisance parameter (1 obra) · Null hypothesis (1 obra) · Parameter space (1 obra) · Statistical Distribution Estimation and Applications (1 obra)