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    • Tests for conditional ellipticity in multivariate GARCH models 

      Francq, C.; Meintanis, S.G.; Jiménez-Gamero, M.D. (Elsevier, 2017)
      Tests are proposed for the assumption that the conditional distribution of a multivariate GARCH process is elliptic. These tests are of Kolmogorov–Smirnov and Cramér–von Mises-type and make use of the common geometry ...