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A note on monitoring time-varying parameters in an autoregression

Carsoule, Frédeŕic; Franses, Philip Hans - In: Metrika : international journal for theoretical and … 57 (2003) 1, pp. 51-62

Persistent link: https://www.econbiz.de/10001730928

Testing for arch in the presence of additive outliers

Dijk, Dick van; Franses, Philip Hans; Lucas, André - 1996

Persistent link: https://www.econbiz.de/10000966917

Testing for ARCH in the presence of addiative outliers

Dijk, Dick van; Franses, Philip Hans; Lucas, André - In: Journal of applied econometrics 14 (1999) 5, pp. 539-562

Persistent link: https://www.econbiz.de/10001421498

Testing for Arch in the Presence of Additive Outliers

Franses, Philip Hans; Lucas, Andre; van Dijk, Dick J. C. - 1998

In this paper we investigate the properties of the Lagrange Multiplier (LM) test for autoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) in the presence of additive outliers (AO's). We show analytically that both the asymptotic size and power are adversely affected...

Persistent link: https://www.econbiz.de/10014200208