Evaluating GARCH models. (Q1858977)

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Evaluating GARCH models.
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    Statements

    title
    Evaluating GARCH models. (English)
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    author
    Stefan Lundbergh
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    Timo Teräsvirta
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    publication date
    17 February 2003
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    zbMATH Keywords
    conditional heteroskedasticity
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    model misspecification test
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    nonlinear time series
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    parameter constancy
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    smooth transition GARCH
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    cites work
    Q5229999
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    Q3368225
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    Q3817481
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    Quadratic ARCH Models
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    Identifiers

    Mathematics Subject Classification ID
    62M10
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    62F03
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    62F35
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    62H15
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    62P20
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    zbMATH DE Number
    1869231
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