We deal with bootstrapping tests for detecting conditional heteroskedasticity in the context of standard and nonstandard ARCH models. We develope parametric and nonparametric bootstrap tests based both on the LM statistic and a neural statistic. The neural tests are designed to approximate an...

In the literature, there are not satisfactory methods for measuring and presenting the performance of confidence regions. In this paper, techniques for measuring effectiveness of confidence regions and for the graphical display of simulation evidence concerning the coverage and effectiveness of...