Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Annastiina Silvennoinen and Timo Teräsvirta
| Year of publication: |
Sep 2016
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|---|---|
| Authors: | Silvennoinen, Annastiina ; Teräsvirta, Timo |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 20.2016, 4, p. 347-364
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| Subject: | autoregressive conditional heteroskedasticity | modeling volatility | testing parameter constancy | time-varying GARCH | Volatilität | Volatility | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Modellierung | Scientific modelling | Schätzung | Estimation | Börsenkurs | Share price | Statistischer Test | Statistical test |
Online Resource