A Lagrange multiplier test for GARCH models
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Publication:1184755
DOI10.1016/0165-1765(91)90221-6zbMath0742.62103OpenAlexW2008911797MaRDI QIDQ1184755
Publication date: 28 June 1992
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://ageconsearch.umn.edu/record/267154/files/monash-114.pdf
Lagrange multiplier testARCH alternativeGARCH alternativeGARCH disturbancestesting white noise disturbances
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)
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