Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap (Q2856548): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Modeling and Forecasting Realized Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Processes of normal inverse Gaussian type / rank
 
Normal rank
Property / cites work
 
Property / cites work: Information Matrix Test, Parameter Heterogeneity and ARCH: A Synthesis / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some asymptotic theory for the bootstrap / rank
 
Normal rank
Property / cites work
 
Property / cites work: The bootstrap in hypothesis testing / rank
 
Normal rank
Property / cites work
 
Property / cites work: A radial basis function artificial neural network test for ARCH / rank
 
Normal rank
Property / cites work
 
Property / cites work: Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized autoregressive conditional heteroscedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Simple Test for Heteroscedasticity and Random Coefficient Variation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sieve bootstrap for time series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: The impulse response function of the long memory GARCH process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Diagnostics for heteroscedasticity in regression / rank
 
Normal rank
Property / cites work
 
Property / cites work: On testing for multivariate ARCH effects in vector time series models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Simulation-based finite-sample tests for heteroskedasticity and ARCH effects / 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: Bootstrapping regression models / rank
 
Normal rank
Property / cites work
 
Property / cites work: On bootstrapping two-stage least-squares estimates in stationary linear models / rank
 
Normal rank
Property / cites work
 
Property / cites work: The information matrix test in the linear regression with ARMA errors / rank
 
Normal rank
Property / cites work
 
Property / cites work: Test of fit for a Laplace distribution against heavier tailed alternatives / rank
 
Normal rank
Property / cites work
 
Property / cites work: A robust modification of the Jarque-Bera test of normality / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust directed tests of normality against heavy-tailed alternatives / rank
 
Normal rank
Property / cites work
 
Property / cites work: Goodness-of-fit tests for copulas: A review and a power study / rank
 
Normal rank
Property / cites work
 
Property / cites work: Understanding Elongation: The Scale Contaminated Normal Family / rank
 
Normal rank
Property / cites work
 
Property / cites work: Simulation‐based tests for heteroskedasticity in linear regression models: Some further results / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Large-Sample Power of Tests Based on Permutations of Observations / 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: BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stock returns and hyperbolic distributions / 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: Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests / rank
 
Normal rank
Property / cites work
 
Property / cites work: Testing Statistical Hypotheses / rank
 
Normal rank
Property / cites work
 
Property / cites work: Testing for ARCH in the presence of a possibly misspecified conditional mean / rank
 
Normal rank
Property / cites work
 
Property / cites work: MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bootstrap prediction for returns and volatilities in GARCH models / rank
 
Normal rank
Property / cites work
 
Property / cites work: A comparison of the power of some tests for conditional heteroscedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bootstrap and randomization tests of some nonparametric hypotheses / rank
 
Normal rank
Property / cites work
 
Property / cites work: Remarks on a Multivariate Transformation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Forecasting and hedging in the foreign exchange markets. / rank
 
Normal rank

Latest revision as of 00:28, 7 July 2024

scientific article
Language Label Description Also known as
English
Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap
scientific article

    Statements

    Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap (English)
    0 references
    0 references
    0 references
    0 references
    29 October 2013
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    bootstrap
    0 references
    GARCH
    0 references
    hypothesis testing
    0 references
    non-Gaussian distribution
    0 references
    nonparametric
    0 references
    permutation
    0 references
    0 references