Residual-based rank specification tests for AR-GARCH type models (Q2343810): Difference between revisions

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Property / DOI: 10.1016/j.jeconom.2014.11.001 / rank
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Latest revision as of 02:34, 18 December 2024

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Residual-based rank specification tests for AR-GARCH type models
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    Residual-based rank specification tests for AR-GARCH type models (English)
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    6 May 2015
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    conditional heteroskedasticity
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    linear and quadratic residual autocorrelation tests
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    model misspecification test
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    nonlinear time series
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    parameter constancy
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    residual symmetry tests
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