Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model (Q2236868)
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scientific article; zbMATH DE number 7414269
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| English | Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model |
scientific article; zbMATH DE number 7414269 |
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Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model (English)
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26 October 2021
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adaptive inference
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Lagrange multiplier test
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portmanteau test
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QMLE
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semiparametric BEKK model
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semiparametric GARCH model
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