Testing for linear autoregressive dynamics under heteroskedasticity
Year of publication: |
1998
|
---|---|
Authors: | Hafner, Christian M. ; Herwartz, Helmut |
Institutions: | Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät |
Subject: | autoregression | heteroskedasticity | GARCH | bootstrap | stochastic volatility |
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