CAULET, Renaud; PEGUIN-FEISSOLLE, Anne - In: Annales d'Economie et de Statistique (2000) 59, pp. 177-197
This paper considers a test for conditional heteroscedasticity based on artificial neural networks and compares its performance with some standard tests using a Monte Carlo study. The conditionally heteroscedastic alternative hypothesis is represented by a conditional variance with a neural...