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A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: An Application to Risk Analysis
Ardia, David; Gatarek, Lukasz; Hoogerheide, Lennart F. - Tinbergen Instituut - 2014
over a small time frame (e.g., a crisis period). We apply our method to test GARCH model specifications for a large panel …
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