Testing for ARCH in the Presence of Additive Outliers
Year of publication: |
1996-01-01
|
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Authors: | Dijk, D.J.C. van ; Franses, Ph.H.B.F. ; Lucas, A. |
Institutions: | Erasmus University Rotterdam, Econometric Institute |
Subject: | generalized autoregressive conditional heteroskedasticity | Lagrange multiplier test | Outliers | robust test |
Extent: | application/pdf |
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Series: | Econometric Institute Report. - ISSN 1566-7294. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:dgr:eureir Number EI 9659-/A |
Source: |
-
Testing for ARCH in the Presence of Additive Outliers
van Dijk, Dick, (1996)
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Short Patches of Outliers, ARCH and Volatility Modeling
Franses, Philip Hans, (1998)
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Short patches of outliers, ARCH and volatility modeling
Franses, Philip Hans, (1998)
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Testing for Smooth Transition Nonlinearity in the Presence of Outliers
Dijk, D.J.C. van, (1996)
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Cointegration in a historical perspective
Franses, Ph.H.B.F., (2009)
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A nonlinear long memory model for US unemployment
Dijk, D.J.C. van, (2000)
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