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Persistent link: https://www.econbiz.de/10003494231
We provide a consistent specification test for GARCH(1,1) models based on a test statistic of Cramér-von Mises type. Since the limit distribution of the test statistic under the null hypothesis depends on unknown quantities in a complicated manner, we propose a model-based...
Persistent link: https://www.econbiz.de/10011490275