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GARCH and sign-type tests against general dependencies and asymmetries. The procedures proposed provide exact versions of … following. Whereas univariate exact tests indicate significant serial correlation, asymmetries and GARCH in some equations, such … matrice de covariance des erreurs. Nous considérons des tests contre la dépendance sérielle, contre la présence d'effets GARCH …
Persistent link: https://www.econbiz.de/10005100677
tests for multivariate GARCH and multivariate generalization of the well known variance ratio tests) and goodness of fit … des tests pour les effets GARCH multivariés et une généralisation multivariée des tests de ratio de variance), des tests …
Persistent link: https://www.econbiz.de/10005100885
) ARCH, GARCH and ARCH-in-mean alternatives; (2) the case where the variance increases monotonically with: (i) one exogenous … expériences de Monte Carlo que nous effectuons portent sur: (1) les alternatives de type ARCH, GARCH and ARCH-en-moyenne; (2) le …
Persistent link: https://www.econbiz.de/10005101027
, which are robust to weak identification and allow for non-Gaussian distributions including parametric GARCH structures. In …
Persistent link: https://www.econbiz.de/10008835415