Caporale, Guglielmo Maria; Ntantamis, Christos; … - Economics and Finance Section, School of Social … - 2004
In this study we examine the widely used Brock, Dechert and Scheinkman (BDS) test when applied to the logarithm of the … derived by De Lima (1996, Econometric Reviews, 15, 237-259) for the nuisance-parameter free property to hold, and address the … issue of their necessity, using the flexible framework offered by the GARCH(1,1) model in terms of moment, memory and time …