Analysing the performance of bootstrap neural tests for conditional heteroskedasticity in ARCH-M models

DOI10.1016/j.csda.2006.08.025zbMath1161.62405OpenAlexW1988446943MaRDI QIDQ1019875

Carole Siani, Christian de Peretti

Publication date: 29 May 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.08.025

zbMATH Keywords

bootstrapneural networksARCHtestsARCH-M

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Neural nets and related approaches to inference from stochastic processes (62M45) Graphical methods in statistics (62A09)

Related Items (2)

Robust statistic for the one-way MANOVA ⋮ Multivariate out-of-sample tests for Granger causality

Cites Work

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• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• A comparison of the power of some tests for conditional heteroscedasticity
• Neural Tests for Conditional Heteroskedasticity in ARCH-M Models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME SERIES MODELS
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• A test for the presence of conditional heteroskedasticity within arch-m framework
• Common risk factors in the returns on stocks and bonds

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