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A Lagrange multiplier test for GARCH models

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Author Info
Lee, John H. H.
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 37 (1991)
Issue (Month): 3 (November)
Pages: 265-271
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Handle: RePEc:eee:ecolet:v:37:y:1991:i:3:p:265-271

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  1. Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2002. "Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach," CIRANO Working Papers 2002s-85, CIRANO. [Downloadable!]
    Other versions:
  2. E. Ruiz & M.A. Carnero & D. Pereira, 2004. "Effects of Level Outliers on the Identification and Estimation of GARCH Models," Econometric Society 2004 Australasian Meetings 21, Econometric Society. [Downloadable!]
  3. Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu, 2003. "Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models," CIRANO Working Papers 2003s-34, CIRANO. [Downloadable!]
    Other versions:
  4. Philip Hans Franses & Dick van Dijk & André Lucas, 1998. "Short Patches of Outliers, ARCH and Volatility Modeling," Tinbergen Institute Discussion Papers 98-057/4, Tinbergen Institute. [Downloadable!]
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  5. Christian Francq & Jean-Michel Zakoïan, 2006. "Inference in GARCH when some coefficients are equal to zero," Computing in Economics and Finance 2006 64, Society for Computational Economics. [Downloadable!]
  6. Oliver Linton & Douglas G. Steigerwald, 1995. "Adaptive Testing in ARCH Models," Cowles Foundation Discussion Papers 1105, Cowles Foundation, Yale University. [Downloadable!]
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  7. Dijk, Dick van & Franses, Philip Hans & Lucas, Andr•, 1996. "Testing for ARCH in the presence of additive outliers," Econometric Institute Report 59, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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  8. Emma Iglesias & Jean Marie Dufour, 2004. "Finite Sample and Optimal Inference in Possibly Nonstationary ARCH Models with Gaussian and Heavy-Tailed Errors," Econometric Society 2004 North American Summer Meetings 161, Econometric Society. [Downloadable!]
  9. Franses, Philip Hans & Dijk, Dick van, 1997. "Do we often find ARCH because of neglected outliers ?," Econometric Institute Report 42, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:
  10. Robert F. Engle & Kevin Sheppard, 2001. "Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH," University of California at San Diego, Economics Working Paper Series 2001-15, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
  11. Jin Lee, 2000. "One-Sided Testing for ARCH Effect Using Wavelets," Econometric Society World Congress 2000 Contributed Papers 1214, Econometric Society. [Downloadable!]
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