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