Testing for misspecification in the short-run component of GARCH-type models
DOI10.1515/SNDE-2017-0069OpenAlexW2811162705WikidataQ129575422 ScholiaQ129575422MaRDI QIDQ2691778
Thomas Chuffart, Anne Peguin-Feissolle, Emmanuel Flachaire
Publication date: 30 March 2023
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/snde-2017-0069
conditional heteroskedasticityGARCHLagrange multiplier testmisspecification testnonlinear volatility time series
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03)
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