Improved two-component tests in Beta-Skew-t-EGARCH models

dc.contributor.author	Müller, Fernanda Maria	pt_BR
dc.contributor.author	Bayer, Fábio Mariano	pt_BR
dc.date.accessioned	2019-10-30T03:45:39Z	pt_BR
dc.date.issued	2017	pt_BR
dc.identifier.issn	1545-2921	pt_BR
dc.identifier.uri	http://hdl.handle.net/10183/201095	pt_BR
dc.description.abstract	This work proposes a likelihood ratio test to assist in the selection of the Beta-Skew-t-EGARCH model with one or two volatility components. To improve the performance of the proposed test in small samples, the bootstrap-based likelihood ratio test and the bootstrap Bartlett correction are considered. The finite sample performance of the tests are assessed using Monte Carlo simulations. The numerical evidence favors the bootstrap-based test. The tests are applied to the DAX log-returns. The results demonstrate the practical usefulness of the proposed two-component tests.	en
dc.format.mimetype	application/pdf	pt_BR
dc.language.iso	eng	pt_BR
dc.relation.ispartof	Economics bulletin. Nashville. Vol. 37, n. 4 (2017), p. 2364-2373	pt_BR
dc.rights	Open Access	en
dc.subject	Administração financeira	pt_BR
dc.title	Improved two-component tests in Beta-Skew-t-EGARCH models	pt_BR
dc.type	Artigo de periódico	pt_BR
dc.identifier.nrb	001104468	pt_BR
dc.type.origin	Estrangeiro	pt_BR

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