Pages that link to "Item:Q1184755"

The following pages link to A Lagrange multiplier test for GARCH models (Q1184755):

Displaying 21 items.

• Simulation-based finite-sample tests for heteroskedasticity and ARCH effects (Q90702) (← links)
• Testing for multivariate volatility functions using minimum volume sets and inverse regression (Q299269) (← links)
• On robust testing for conditional heteroscedasticity in time series models (Q956923) (← links)
• A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity (Q961418) (← links)
• Testing for GARCH effects: A one-sided approach (Q1298438) (← links)
• The persistence in volatility of the US term premium 1970--1986 (Q1352231) (← links)
• Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap (Q2856548) (← links)
• The information matrix test in the linear regression with ARMA errors (Q3598368) (← links)
• Robustness of the arch tests in the presence of serial correlation (Q4369369) (← links)
• Testing for reduction to random walk in autoregressive conditional heteroskedasticity models (Q4416017) (← links)
• ON THE CONDITIONAL HOMOSCEDASTICITY TEST IN AUTOREGRESSIVE MODEL WITH ARCH ERROR (Q4449054) (← links)
• The effects of outliers on two nonlinearity tests (Q4784252) (← links)
• Assessment of Local Influence in GARCH Processes (Q4828183) (← links)
• On the test of the volatility proxy model (Q5055216) (← links)
• Estimation, Testing, and Finite Sample Properties of Quasi-Maximum Likelihood Estimators in GARCH-M Models (Q5080157) (← links)
• The structural Sharpe model under<i>t</i>-distributions (Q5123670) (← links)
• A conditionally heteroskedastic binary choice model for macro-financial time series (Q5222456) (← links)
• A Comparison of the Runs Test for Volatility Forecastability and the LM Test for GARCH Using Aggregated Returns (Q5423184) (← links)
• A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models (Q5861525) (← links)
• Rao's score, Neyman's \(C(\alpha)\) and Silvey's LM tests: an essay on historical developments and some new results (Q5943791) (← links)
• On detecting non‐monotonic trends in environmental time series: a fusion of local regression and bootstrap (Q6069070) (← links)