This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
A Lagrange multiplier test for GARCH models Author info | Abstract | Publisher info | Download info | Related research | Statistics Lee, John H. H.
No abstract is available for
this item.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Article provided by Elsevier in its journal Economics Letters .
Volume (Year): 37 (1991)
Issue (Month): 3 (November)
Pages: 265-271
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Handle: RePEc:eee:ecolet:v:37:y:1991:i:3:p:265-271Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet
For technical questions regarding this item, or to correct its listing, contact: (Heidi Boesdal).
Keywords: Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
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:
BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda., 2002.
"Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach ,"
Cahiers de recherche
2002-17, Universite de Montreal, Departement de sciences economiques.
[Downloadable!] Dufour, Jean-Marie & Beaulieu, Marie-Claude & Khalaf, Lynda, 2003.
"Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach ,"
Discussion Paper Series 1: Economic Studies
2003,01, Deutsche Bundesbank, Research Centre.
[Downloadable!] Beaulieu, M.-C. & Dufour, J.-M. & Khalaf, L., 2002.
"Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach ,"
Cahiers de recherche
17-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
[Downloadable!] 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!]
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:
DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003.
"Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models ,"
Cahiers de recherche
06-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
[Downloadable!] DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003.
"Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models ,"
Cahiers de recherche
2003-08, Universite de Montreal, Departement de sciences economiques.
[Downloadable!] 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!]
Other versions: 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!]
Oliver Linton & Douglas G. Steigerwald, 1995.
"Adaptive Testing in ARCH Models ,"
Cowles Foundation Discussion Papers
1105, Cowles Foundation, Yale University.
[Downloadable!]
Other versions: 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!]
Other versions:
Van Dijk, D. & Franses, P.H. & Lucas, A., 1996.
"Testing for ARCH in the Presence of Additive Outliners ,"
Papers
9659/a, Erasmus University of Rotterdam - Econometric Institute.
Dijk, D.J.C. van & Franses, Ph.H.B.F. & Lucas, A., 1996.
"Testing for ARCH in the Presence of Additive Outliers ,"
Econometric Institute Report
EI 9659-/A Revision_Date:, Erasmus University Rotterdam, Econometric Institute.
[Downloadable!] van Dijk, Dick & Franses, Philip Hans & Lucas, Andre, 1999.
"Testing for ARCH in the Presence of Additive Outliers ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 14(5), pages 539-62, Sept.-Oct.
[Downloadable!] 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!]
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: 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: Jin Lee, 2000.
"One-Sided Testing for ARCH Effect Using Wavelets ,"
Econometric Society World Congress 2000 Contributed Papers
1214, Econometric Society.
[Downloadable!]
Access and
download statistics Did you know? About five million pdf files are downloaded through RePEc every year.
This page was last updated on 2009-11-7.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .