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Score Tests for Hyperbolic GARCH Models

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  • Li, Muyi
  • Li, Guodong
  • Li, Wai Keung

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  • Li, Muyi & Li, Guodong & Li, Wai Keung, 2011. "Score Tests for Hyperbolic GARCH Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(4), pages 579-586.
    • Handle: RePEc:bes:jnlbes:v:29:i:4:y:2011:p:579-586
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    Citations

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    Cited by:

    1. Li, Muyi & Li, Wai Keung & Li, Guodong, 2015. "A new hyperbolic GARCH model," Journal of Econometrics, Elsevier, vol. 189(2), pages 428-436.
    2. Christian Conrad & Melanie Schienle, 2020. "Testing for an Omitted Multiplicative Long-Term Component in GARCH Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 229-242, April.
    3. Muyi Li & Wai Keung Li & Guodong Li, 2013. "On Mixture Memory Garch Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(6), pages 606-624, November.
    4. Toktam Valizadeh & Saeid Rezakhah & Ferdous Mohammadi Basatini, 2021. "On time‐varying amplitude HGARCH model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2538-2547, April.
    5. repec:wyi:journl:002190 is not listed on IDEAS
    6. Heitham Al-Hajieh, 2017. "Evaluated the Success of Fractionally Integrated-GARCH Models on Prediction Stock Market Return Volatility in Gulf Arab Stock Markets," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(7), pages 200-213, July.

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