Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap (Q2856548)
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scientific article; zbMATH DE number 6220692
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| English | Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap |
scientific article; zbMATH DE number 6220692 |
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Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap (English)
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29 October 2013
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bootstrap
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GARCH
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hypothesis testing
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non-Gaussian distribution
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nonparametric
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permutation
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0.89592844
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0.8879739
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0.8594284
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0.8578954
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0.85543823
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