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Volatility and Time Series EconometricsEssays in Honor of Robert Engle$
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Tim Bollerslev, Jeffrey Russell, and Mark Watson

Print publication date: 2010

Print ISBN-13: 9780199549498

Published to Oxford Scholarship Online: May 2010

DOI: 10.1093/acprof:oso/9780199549498.001.0001

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PRINTED FROM OXFORD SCHOLARSHIP ONLINE (oxford.universitypressscholarship.com). (c) Copyright Oxford University Press, 2021. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 23 September 2021

Multivariate Autocontours for Specification Testing in Multivariate GARCH Models *

Multivariate Autocontours for Specification Testing in Multivariate GARCH Models *

Chapter:
(p.213) 11 Multivariate Autocontours for Specification Testing in Multivariate GARCH Models*
Source:
Volatility and Time Series Econometrics
Author(s):

González‐Rivera Gloria

Emre Yoldas

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780199549498.003.0011

This chapter develops a new set of specification tests for multivariate dynamic models based on the concept of autocontours. The chapter is organized as follows. Section 2 describes the battery of tests and the construction of the multivariate contours and autocontours. Section 3 offers some Monte Carlo simulation to assess the size and power of the tests in finite samples. Section 4 applies the tests to the generalized residuals of GARCH models with hypothesized normal and multivariate Student-t innovations fitted to excess returns on five size portfolios; Section 5 concludes.

Keywords:   multivariate dynamic models, specification tests, Monte Carlo simulation, GARCH models

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