The BDS test as a test for the adequacy of a GARCH (1,1) specification : a Monte Carlo study
Guglielmo Maria Caporale ...
| Year of publication: |
2005
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|---|---|
| Authors: | Caporale, Guglielmo Maria ; Ntantamis, Christos ; Pantelidis, Theologos ; Pittis, Nikitas |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 3.2005, 2, p. 282-309
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| Subject: | Statistischer Test | Statistical test | ARCH-Modell | ARCH model | Monte-Carlo-Simulation | Monte Carlo simulation |
| Extent: | graph. Darst |
|---|---|
| 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://ebvufind01.dmz1.zbw.eu/10002811388