Testing for jumps in the EGARCH process (Q834296)
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scientific article; zbMATH DE number 5596879
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Testing for jumps in the EGARCH process |
scientific article; zbMATH DE number 5596879 |
Statements
Testing for jumps in the EGARCH process (English)
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19 August 2009
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Davies problem
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Dirac's delta function
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exponential GARCH
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jump process
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Lagrange multiplier test
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0.8463258743286133
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0.8276681303977966
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0.8245183825492859
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0.8076105713844299
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0.8057043552398682
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