Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap
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Publication:2856548
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Cites work
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Cited in
(7)- On detecting non‐monotonic trends in environmental time series: a fusion of local regression and bootstrap
- A Lagrange multiplier test for GARCH models
- On the consistency of bootstrap testing for a parameter on the boundary of the parameter space
- A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity
- Bootstrap- and permutation-based inference for the Mann-Whitney effect for right-censored and tied data
- On the test of the volatility proxy model
- A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
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