Testing for GARCH effects: A one-sided approach
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Publication:1298438
DOI10.1016/S0304-4076(97)00110-3zbMath0962.62083WikidataQ128090036 ScholiaQ128090036MaRDI QIDQ1298438
Antonis Demos, Enrique Sentana
Publication date: 19 June 2001
Published in: Journal of Econometrics (Search for Journal in Brave)
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)
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