Testing for GARCH effects: A one-sided approach (Q1298438): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
Created claim: Wikidata QID (P12): Q128090036, #quickstatements; #temporary_batch_1722468928777
 
(2 intermediate revisions by 2 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / cites work
 
Property / cites work: An introduction to econometric applications of empirical process theory for dependent random variables / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5611510 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A test for the presence of conditional heteroskedasticity within arch-m framework / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized autoregressive conditional heteroscedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: ARCH modeling in finance. A review of the theory and empirical evidence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances / rank
 
Normal rank
Property / cites work
 
Property / cites work: On asymptotic tests of composite hypotheses in nonstandard conditions / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Distribution of the Likelihood Ratio / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3753259 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Temporal Aggregation of Garch Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3703164 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3999329 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pseudo Maximum Likelihood Methods: Theory / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Density Estimation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis / rank
 
Normal rank
Property / cites work
 
Property / cites work: A heteroscedasticity-consistent covariance matrix estimator for time series regressions / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships / rank
 
Normal rank
Property / cites work
 
Property / cites work: Wald Criteria for Jointly Testing Equality and Inequality Restrictions / rank
 
Normal rank
Property / cites work
 
Property / cites work: A note on Studentizing a test for heteroscedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Lagrange multiplier test for GARCH models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic properties of homogeneity tests / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conditional Heteroskedasticity in Asset Returns: A New Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Diagnostic tests as residual analysis / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic Properties of Maximum Likelihood Estimators and Likelihood Ratio Tests Under Nonstandard Conditions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quadratic ARCH Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic distribution of test statistics in the analysis of moment structures under inequality constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: ARMA MODELS WITH ARCH ERRORS / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Maximum Likelihood Estimation of Misspecified Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Testing inequality constraints in linear econometric models / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the application of robust, regression-based diagnostics to models of conditional means and conditional variances / rank
 
Normal rank
Property / Wikidata QID
 
Property / Wikidata QID: Q128090036 / rank
 
Normal rank

Latest revision as of 00:38, 1 August 2024

scientific article
Language Label Description Also known as
English
Testing for GARCH effects: A one-sided approach
scientific article

    Statements

    Testing for GARCH effects: A one-sided approach (English)
    0 references
    0 references
    0 references
    19 June 2001
    0 references
    inequality constraints
    0 references
    likelihood ratio
    0 references
    Lagrange multiplier
    0 references
    Wald tests
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references