Testing for jumps in the EGARCH process (Q834296)
From MaRDI portal
!
WARNING
This is the item page for this Wikibase entity, intended for internal use and editing purposes.
Please use the normal view instead:
scientific article; zbMATH DE number 5596879
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Testing for jumps in the EGARCH process |
scientific article; zbMATH DE number 5596879 |
Statements
Testing for jumps in the EGARCH process (English)
0 references
19 August 2009
0 references
Davies problem
0 references
Dirac's delta function
0 references
exponential GARCH
0 references
jump process
0 references
Lagrange multiplier test
0 references
0.8463258743286133
0 references
0.8276681303977966
0 references
0.8245183825492859
0 references
0.8076105713844299
0 references
0.8057043552398682
0 references
