Maki, Daiki; Ota, Yasushi - In: Cogent Economics & Finance 9 (2021) 1, pp. 1-18
This study compares the size and power of autoregressive conditional heteroskedasticity (ARCH) tests that are robust to the presence of a misspecified conditional mean. The approaches employed are based on two nonparametric regressions for the conditional mean: an ARCH test with a...
