Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap
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Publication:2856548
DOI10.1002/cjs.11149zbMath1349.62401MaRDI QIDQ2856548
Publication date: 29 October 2013
Published in: Canadian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/cjs.11149
62G10: Nonparametric hypothesis testing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G20: Asymptotic properties of nonparametric inference
62G09: Nonparametric statistical resampling methods
91B84: Economic time series analysis
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