testing parameter constancy. Furthermore, various existing ways of testing the EGARCH model against GARCH one are investigated …

linearity and parameter constancy. Finally, the tests are applied to ACD models of the IBM stock traded at the New York Stock … higher-order models, tests of no remaining ACD in the standardized durations, as well as tests of linearity and parameter … constancy. In addition to its generality, the advantage of this testing approach is its ease of application, since all the …

parameter constancy. In addition to its generality, the advantage of this testing approach is its ease of application, since all … tests of linearity and parameter constancy. Finally, the tests are applied to ACD models of the IBM stock traded at the New … the standardized durations, as well as tests of linearity and parameter constancy. In addition to its generality, the …

testing parameter constancy. Furthermore, various existing ways of testing the EGARCH model against GARCH one are investigated … GARCH (STGARCH) model and a test of parameter constancy against smoothly changing parameters. It appears that less work has … multiplier type tests and include testing an EGARCH model against a higher-order one and testing parameter constancy. Furthermore …

and parameter constancy. The nonlinear alternative is specified as a smooth transition regression model. It turns out that …

and parameter constancy. The nonlinear alternative is specified as a smooth transition regression model. It turns out that …

and parameter constancy. The nonlinear alternative is specified as a smooth transition regression model. It turns out that …