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CHANGES OF STRUCTURE IN FINANCIAL TIME SERIES AND THE GARCH MODEL
integrated periodogram spectral distribution functional central limit theorem Kiefer-Muller process Brownian bridge sample autocorrelation change point GARCH process long range dependence IGARCH non-stationarity
2009/2/26
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 gi...