Power monotonicity in detecting volatility levels change
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Publication:2446476
DOI10.1016/j.econlet.2013.06.030zbMath1284.62530OpenAlexW2085019742MaRDI QIDQ2446476
Publication date: 17 April 2014
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2013.06.030
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)
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