A simultaneous test for conditional mean and conditional variance functions in time series models with martingale difference innovations (Q537479)
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scientific article; zbMATH DE number 5898226
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| English | A simultaneous test for conditional mean and conditional variance functions in time series models with martingale difference innovations |
scientific article; zbMATH DE number 5898226 |
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A simultaneous test for conditional mean and conditional variance functions in time series models with martingale difference innovations (English)
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20 May 2011
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ARCH processes
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ergodic processes
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LAN
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local power
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nonlinear processes
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0.8507574796676636
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0.8252531886100769
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0.8130660057067871
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0.8128729462623596
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