I. Berkes, L. Horváth, and P. Kokoszka, GARCH processes: structure and estimation, Bernoulli, vol.9, issue.2, pp.201-227, 2003.
DOI : 10.3150/bj/1068128975

G. E. Box and D. A. Pierce, Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models, Journal of the American Statistical Association, vol.11, issue.332, pp.1509-1526, 1970.
DOI : 10.1098/rsta.1927.0007

M. Carbon and C. Francq, Portmanteau goodness-of-fit test for asymmetric power GARCH models, Austrian Journal of Statistics, vol.40, pp.55-64, 2011.

J. C. Escanciano, ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS, Econometric Theory, vol.19, issue.03, pp.744-773, 2010.
DOI : 10.1017/S0266466600004898

C. Francq, L. Horváth, and J. M. Zakoïan, SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL, Econometric Theory, vol.21, issue.04, pp.965-993, 2010.
DOI : 10.1093/biomet/75.3.491

C. Francq, O. Wintenberger, and J. M. , GARCH models without positivity constraints: Exponential or log GARCH?, Journal of Econometrics, vol.177, issue.1, pp.34-46
DOI : 10.1016/j.jeconom.2013.05.004

URL : https://hal.archives-ouvertes.fr/hal-00750015

C. Francq and J. Zakoïan, QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS, Econometric Theory, vol.19, issue.01, pp.1-28, 2011.
DOI : 10.1017/S0266466608090117

J. Geweke, Commet, Econometric Reviews, vol.5, issue.1, pp.57-61, 1986.
DOI : 10.1080/07474938608800097

A. C. Harvey and G. Sucarrat, EGARCH models with fat tails, skewness and leverage, Computational Statistics & Data Analysis, vol.76, pp.320-338, 2014.
DOI : 10.1016/j.csda.2013.09.022

C. He, T. Teräsvirta, and H. Malmsten, MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS, Econometric Theory, vol.18, issue.04, pp.868-885, 2002.
DOI : 10.1017/S0266466602184039

A. Leucht, J. Kreiss, and M. Neumann, A Model Specification Test For GARCH(1,1) Processes, Scandinavian Journal of Statistics, vol.6, issue.4, pp.1167-1193, 2015.
DOI : 10.1111/sjos.12158

W. K. Li, Diagnostic checks in time series, Boca Raton, 2004.

W. K. Li and T. K. Mak, ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY, Journal of Time Series Analysis, vol.5, issue.6, pp.627-636, 1994.
DOI : 10.1093/biomet/79.2.435

S. Ling and W. K. Li, On Fractionally Integrated Autoregressive Moving-Average Time Series Models with Conditional Heteroscedasticity, Journal of the American Statistical Association, vol.18, issue.439, pp.1184-1194, 1997.
DOI : 10.1080/01621459.1997.10474076

G. M. Ljung and G. E. Box, On a measure of lack of fit in time series models, Biometrika, vol.65, issue.2, pp.297-303, 1978.
DOI : 10.1093/biomet/65.2.297

R. Luukkonen, P. Saikkonen, and T. Teräsvirta, Testing linearity against smooth transition autoregressive models, Biometrika, vol.75, issue.3, pp.491-499, 1988.
DOI : 10.1093/biomet/75.3.491

A. I. Mcleod, On the distribution of residual autocorrelations in Box-Jenkins method, Journal of the Royal Statistical Society B, vol.40, pp.296-302, 1978.

A. Milhøj, A Multiplicative Parameterization of ARCH Models. Working paper, 1987.

D. B. Nelson, Conditional Heteroskedasticity in Asset Returns: A New Approach, Econometrica, vol.59, issue.2, pp.347-370, 1991.
DOI : 10.2307/2938260

S. G. Pantula, Comment, Econometric Reviews, vol.5, issue.1, pp.71-74, 1986.
DOI : 10.2307/2287899

G. Sucarrat, S. Grønneberg, and A. Escribano, Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown, Forthcoming in Computational Statistics and Data Analysis, 2015.
DOI : 10.1016/j.csda.2015.12.005

D. Straumann and T. Mikosch, Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach, The Annals of Statistics, vol.34, issue.5, pp.2449-2495, 2006.
DOI : 10.1214/009053606000000803

O. Wintenberger, Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model, Scandinavian Journal of Statistics, vol.151, issue.2, pp.846-867, 2013.
DOI : 10.1111/sjos.12038

URL : https://hal.archives-ouvertes.fr/hal-00751706

F. X. Diebold and R. S. Mariano, Comparing Predictive Accuracy, Journal of Business and Economic Statistics, vol.13, pp.253-263, 1995.