On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
By Gabriele Fiorentini, Enrique Sentana, Giorgio Calzolari. 2004
64 citations recorded by the source corpus.
Subfields: Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/1c5f0e4821282e9ee9f867854e0896e291f974e9
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- J. Mencía
- Enrique Sentana
- Nikolaos Antonakakis
- Esther Ruiz
- M. Pesaran
- B. Pesaran
- Rafael Repullo
- Dante Amengual
In Statistics and Probability
- J. Mencía
- Enrique Sentana
- Gabriele Fiorentini
- Giorgio Calzolari
- Nikolaos Antonakakis
- Esther Ruiz
- M. Pesaran
- B. Pesaran
Citations in the corpus
- Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models With Student t Innovations (2003, background): “A necessary and suf cient condition for this to happen is that &t.µ0/ ¡ N can be written as an exact, time-invariant, linear combination of sµt.µ0;0/ (Fiorentini, Sentana, and Calzolari 2003).”
- Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations (2009, background): “In more general models, though, they may suffer from asymptotic size distortions, as pointed out in a univariate context by Bontemps & Meddahi (2005) and Fiorentini et al. (2004).”