Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap

DOI10.1002/CJS.11149zbMATH Open1349.62401OpenAlexW2160725414MaRDI QIDQ2856548FDOQ2856548

Authors: Yulia R. Gel, Bei Chen 

Publication date: 29 October 2013

Published in: The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.11149

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zbMATH Keywords

bootstraphypothesis testingpermutationGARCHnonparametricnon-Gaussian distribution

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Economic time series analysis (91B84)

Cites Work

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Cited In (7)

• 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 consistency of bootstrap testing for a parameter on the boundary of the parameter space
• On detecting non‐monotonic trends in environmental time series: a fusion of local regression and bootstrap
• On the test of the volatility proxy model
• A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
• A Lagrange multiplier test for GARCH models

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