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Caporin, Massimiliano and Lisi, Francesco (2007) Misspecification tests for Periodic Long Memory GARCH models. [Working Paper] WORKING PAPER SERIES, 25/2007 . , PADOVA (Inedito)

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Abstract (english)

Distributional theory for Quasi-Maximum Likelihood estimators in long memory conditional heteroskedastic models is not formally defined, even asympotically. Because of that, this paper analyses the performance of the Likelihood Ratio and the Lagrange Multiplier misspecification tests for Periodic Long Memory GARCH models. The real size and power of these tests are studied by means of Monte Carlo simulations with respect to the class of Generalized Long Memory GARCH models. An application to the USD/JPY exchange rate is also provided.

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EPrint type:Working Paper
Anno di Pubblicazione:December 2007
Key Words:Long Memory, Generalized Long Memory GARCH models, PLM-GARCH models, misspecification tests.
Settori scientifico-disciplinari MIUR:Area 13 - Scienze economiche e statistiche > SECS-S/01 Statistica
Struttura di riferimento:Dipartimenti > Dipartimento di Scienze Statistiche
Codice ID:7112
Depositato il:11 Sep 2014 14:52
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