A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity

DOI10.1016/j.csda.2008.09.018zbMath1453.62100MaRDI QIDQ961418

Luigi Grossi, Fabrizio Laurini

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.09.018

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62-08: Computational methods for problems pertaining to statistics

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

62F35: Robustness and adaptive procedures (parametric inference)

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