Testing for nonlinearity in conditional covariances (Q1695687)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Testing for nonlinearity in conditional covariances |
scientific article |
Statements
Testing for nonlinearity in conditional covariances (English)
0 references
7 February 2018
0 references
Lagrange multiplier test
0 references
nonlinearity
0 references
smooth transition
0 references
scalar BEKK
0 references
multivariate GARCH
0 references