A Model Specification Test For GARCH(1,1) Processes (Q3460672)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Model Specification Test For GARCH(1,1) Processes |
scientific article |
Statements
A Model Specification Test For GARCH(1,1) Processes (English)
0 references
8 January 2016
0 references
bootstrap
0 references
Cramér-von Mises test
0 references
generalized autoregressive conditional heteroscedacity processes
0 references
\(V\)-statistic
0 references
GARCH(1,1)
0 references
limit distribution
0 references
0 references
0 references
0 references
