The finite-sample size of the BDS test for GARCH standardized residuals
Marcelo Fernandes, Pierre-Yves Preumont
| Year of publication: |
november 2012
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|---|---|
| Authors: | Fernandes, Marcelo ; Preumont, Pierre-Yves |
| Published in: |
Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society. - Rio de Janeiro : [Verlag nicht ermittelbar], ISSN 1980-2447, ZDB-ID 2392364-7. - Vol. 32.2012, 2, p. 241-260
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| Subject: | BDS Test | GARCH Process | Response Surface | Size Distortion | ARCH-Modell | ARCH model | Statistischer Test | Statistical test | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Nichtparametrisches Verfahren | Nonparametric statistics |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.12660/bre.v32n22012.18608 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011538566