Pooter, Michiel de (contributor); Dijk, Dick van (contributor) - 2004 - [Elektronische Ressource]
. Applying the tests to standardized residuals from an
estimated GARCH model results in good size and reasonable power proper …: change-point tests, structural breaks, CUSUM, GARCH mod-
els, emerging markets
JEL Classi cation Code: C12, C22, G15 … standardized residuals from
an estimated GARCH model. An elaborate simulation analysis con rms that the
tests have severe size …