Misspecification tests for periodic long memory GARCH models
Massimiliano Caporin; Francesco Lisi
| Year of publication: |
2010
|
|---|---|
| Authors: | Caporin, Massimiliano ; Lisi, Francesco |
| Published in: |
Statistical methods & applications : SMA ; journal of the Italian Statistical Society. - Berlin, Germany : Springer, ISSN 1618-2510, ZDB-ID 2082218-2. - Vol. 19.2010, 1, p. 47-62
|
| Subject: | ARCH-Modell | ARCH model | Statistischer Test | Statistical test | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003945286