THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY
Year of publication: |
2000-12
|
---|---|
Authors: | Fiorentini, Gabriele ; Sentana, Enrique ; Calzolari, Giorgio |
Institutions: | Instituto Valenciano de Investigaciones Económicas (IVIE) |
Subject: | Kurtosis | Inequality Constraints | ARCH | Financial Returns |
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