Testing for misspecification in the short-run component of GARCH-type models
Year of publication: |
Dez 2018
|
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Authors: | Chuffart, Thomas ; Flachaire, Emmanuel ; Péguin-Feissolle, Anne |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 22.2018, 5, p. 1-17
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Subject: | conditional heteroskedasticity | GARCH | Lagrange multiplier test | misspecification test | nonlinear volatility time series | Schätzung | Estimation | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Schätztheorie | Estimation theory | Statistischer Test | Statistical test |
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