Residual-based rank specification tests for AR-GARCH type models
Elena Andreou; Bas J. M. Werker
| Year of publication: |
2015
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|---|---|
| Authors: | Andreou, Elena ; Werker, Bas J. M. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 185.2015, 2, p. 305-331
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| Subject: | Conditional heteroskedasticity | Linear and quadratic residual autocorrelation tests | Model misspecification test | Nonlinear time series | Parameter constancy | Residual symmetry tests | ARCH-Modell | ARCH model | Statistischer Test | Statistical test | Zeitreihenanalyse | Time series analysis | Modellierung | Scientific modelling | Schätztheorie | Estimation theory | Ranking-Verfahren | Ranking method | Autokorrelation | Autocorrelation | Bootstrap-Verfahren | Bootstrap approach |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011348447