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~institution:"Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain"
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ARCH models
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empirical process
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goodness-of-fit tests
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size-power curves
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smooth bootstrap
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squared residuals
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HORVATH, Lajos
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KOKOSZKA, Piotr
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
London School of Economics (LSE)
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Finance Research Centre, Oxford University
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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Department of Economics, Oxford University
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Economics Group, Nuffield College, University of Oxford
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Institut für Finanzmarktforschung, Wirtschafts- und Sozialwissenschaftliche Fakultät
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Department Wirtschaftswissenschaften, Technische Universität Carolo-Wilhelmina zu Braunschweig
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European Science Foundation Network in Financial Markets, c/o C.E.P.R, 77 Bastwick Street, London EC1V 3PZ.
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Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
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University of Bonn, Germany
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Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals
HORVATH, Lajos
;
KOKOSZKA, Piotr
;
TEYSSIÈRE, Gilles
-
Center for Operations Research and Econometrics (CORE), …
-
2003
We propose and study by means of simulations and graphical tools a class of goodness-of-fit tests for
ARCH
models
. The …
Persistent link: https://www.econbiz.de/10005065302
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