Meitz, Mika (contributor); Teräsvirta, Timo (contributor) - 2004 - [Elektronische Ressource], First version March 2004, revised December 2004
variances are modeled using ARCH and GARCH models of Engle (1982) and
Bollerslev (1986).
Following the GARCH literature, a … GARCH models. The two papers share the same goal: to derive easily
applicable evaluation tools based on Lagrange multiplier … statistics differ
in that the error distributions of the ACD and GARCH models are not the same. Furthermore,
the present paper …