Testing for nonlinearity in conditional covariances
Bilel Sanhaji
| Year of publication: |
Jul 2017
|
|---|---|
| Authors: | Sanhaji, Bilel |
| Subject: | Lagrange multiplier test | nonlinearity | smooth transition | scalar BEKK | multivariate GARCH | ARCH-Modell | ARCH model | Nichtlineare Regression | Nonlinear regression | Zeitreihenanalyse | Time series analysis | Statistischer Test | Statistical test | Schätztheorie | Estimation theory | Korrelation | Correlation | Volatilität | Volatility | Multivariate Analyse | Multivariate analysis |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/jtse-2016-0010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011701865