Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean

DOI10.1016/j.jeconom.2005.08.007zbMath1360.62542MaRDI QIDQ276926

George Kapetanios, Andrew P. Blake

Publication date: 4 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.08.007

zbMATH Keywords

neural networks; nonlinearity; ARCH

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

TESTS OF THE MARTINGALE DIFFERENCE HYPOTHESIS USING BOOSTING AND RBF NEURAL NETWORK APPROXIMATIONS, Modelling nonlinearities in equity returns: the mean impact curve analysis, Joint and marginal specification tests for conditional mean and variance models, Missing mean does no harm to volatility!, A neural network method for nonlinear time series analysis, Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap

Cites Work

• Unnamed Item
• Unnamed Item
• 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
• A radial basis function artificial neural network test for ARCH
• Multilayer feedforward networks are universal approximators
• Testing for ARCH in the presence of a possibly misspecified conditional mean
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A radial basis function artificial neural network test for neglected nonlinearity
• Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives
• Approximation by superpositions of a sigmoidal function