Residual-based Rank Specification Tests for AR-GARCH type models
Year of publication: |
2014-01
|
---|---|
Authors: | Andreou, Elena ; Werker, Bas J.M. |
Institutions: | University of Cyprus Department of Economics |
Subject: | Conditional heteroskedasticity | Linear and quadratic residual autocorrelation tests | Model misspecification test | Nonlinear time series | Parameter constancy | Residual symmetry tests |
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