Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap
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Cites work
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- A note on Studentizing a test for heteroscedasticity
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- Bootstrapping regression models
- BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS
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- Diagnostics for heteroscedasticity in regression
- Forecasting and hedging in the foreign exchange markets.
- Generalized autoregressive conditional heteroscedasticity
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- Modeling and Forecasting Realized Volatility
- MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
- On bootstrapping two-stage least-squares estimates in stationary linear models
- On testing for multivariate ARCH effects in vector time series models
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- Remarks on a Multivariate Transformation
- Robust directed tests of normality against heavy-tailed alternatives
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- Some asymptotic theory for the bootstrap
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- Test of fit for a Laplace distribution against heavier tailed alternatives
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- Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
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- The bootstrap in hypothesis testing
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Cited in
(7)- A Lagrange multiplier test for GARCH models
- Bootstrap- and permutation-based inference for the Mann-Whitney effect for right-censored and tied data
- On the test of the volatility proxy model
- On the consistency of bootstrap testing for a parameter on the boundary of the parameter space
- A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
- On detecting non‐monotonic trends in environmental time series: a fusion of local regression and bootstrap
- A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity
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