Specification Tests for Asymmetric GARCH
Year of publication: |
1997-03
|
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Authors: | Hagerud, Gustaf E. |
Institutions: | Economics Institute for Research (SIR), Handelshögskolan i Stockholm |
Subject: | GARCH | asymmetry | specification tests | Monte Carlo experiment |
Extent: | application/x-dvi application/postscript application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | The text is part of a series Working Paper Series in Economics and Finance Number 163 32 pages |
Classification: | C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models |
Source: |
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