Lim, Kian-Ping; Hinich, Melvin J.; Liew, Venus Khim-Sen - In: Journal of Emerging Market Finance 4 (2005) 3, pp. 263-279
This study employs the Hinich portmanteau bicorrelation test (Hinich 1996; Hinich and Patterson 1995) as a diagnostic tool to determine the adequacy of Generalised Autoregressive Conditional Heteroscedasticity (GARCH) models for eight Asian stock markets. The bicorrelation test results demonstrate...