Search Results - subject:"Conditional Heteroskedasticity"

Testing for nonlinearities in German bank stock returns

Kosfeld, Reinhold; Robé, Sophie - In: Empirical economics : a journal of the Institute for … 26 (2001) 3, pp. 581-597

Persistent link: https://www.econbiz.de/10001609099

The Time-Varying-Parameter Model as an Alternative to ARCH for Modeling Changing Conditional Variance : The Case of Lucas Hypothesis

Nelson, Charles R. - 1988

The main econometric issue in testing the Lucas hypothesis (1973) in a times series context is the estimation of the variance conditional on past information. The ARCH model, proposed by Engle (1982), is one way of specifying the conditional variance. But the assumption underlying the ARCH...

Persistent link: https://www.econbiz.de/10012476365

Nonparametric Bootstrap Tests for Neglected Nonlinearity in Time Series Regression Models

Ullah, Aman; Lee, Tae-Hwy - Centre for Development Economics, Delhi School of Economics - 2000

A unified framework for various nonparametric kernel regression estimators is presented, based on which we consider two nonparametric tests for neglected nonlinearity in time series regression models. One of them is the goodness-of-fit test of Cai, Fan, and Yao (2000) and another is the...

Persistent link: https://www.econbiz.de/10005418925

Adaptive testing in arch models

Linton, Oliver; Steigerwald, Douglas - In: Econometric Reviews 19 (2000) 2, pp. 145-174

Specification tests for conditional heteroskedasticity that are derived under the assumption that the density of the … specification tests for conditional heteroskedasticity under the assumption that the innovation density is a member of a general …

Persistent link: https://www.econbiz.de/10005644444