Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models (Q1978761)
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scientific article; zbMATH DE number 1454482
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| English | Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models |
scientific article; zbMATH DE number 1454482 |
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Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models (English)
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4 June 2000
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GARCH models
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asymmetries
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misspecification
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Engle and Ng tests
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BDS test
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0.8109917044639587
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0.7975060939788818
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0.7937992215156555
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0.7918597459793091
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0.7913596034049988
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