A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity
From MaRDI portal
Publication:961418
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
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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