Testing for misspecification in the short-run component of GARCH-type models
Thomas Chuffart, Emmanuel Flachaire, Anne Péguin-Feissolle
| Year of publication: |
Dez 2018
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| Authors: | Chuffart, Thomas ; Flachaire, Emmanuel ; Péguin-Feissolle, Anne |
| 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. 22.2018, 5, p. 1-17
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| Subject: | conditional heteroskedasticity | GARCH | Lagrange multiplier test | misspecification test | nonlinear volatility time series | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Volatilität | Volatility | Schätztheorie | Estimation theory | Statistischer Test | Statistical test | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2017-0069 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011965362