Evaluating GARCH models.

DOI10.1016/S0304-4076(02)00096-9zbMath1040.62078OpenAlexW2103074656MaRDI QIDQ1858977

Timo Teräsvirta, Stefan Lundbergh

Publication date: 17 February 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(02)00096-9

zbMATH Keywords

conditional heteroskedasticitynonlinear time seriesparameter constancymodel misspecification testsmooth transition GARCH

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15) Robustness and adaptive procedures (parametric inference) (62F35)

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