Simulation-based finite-sample tests for heteroskedasticity and ARCH effects (Q90702)
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scientific article; zbMATH DE number 6524527
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| English | Simulation-based finite-sample tests for heteroskedasticity and ARCH effects |
scientific article; zbMATH DE number 6524527 |
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122
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2
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317-347
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October 2004
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29 December 2015
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Simulation-based finite-sample tests for heteroskedasticity and ARCH effects (English)
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linear regression
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specification test
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Monte Carlo test
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exact test
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GARCH
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0.8353778719902039
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0.819868266582489
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0.819868266582489
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0.797394871711731
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0.7916324734687805
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