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A robust LR test for the GARCH model

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  • Busch, Thomas

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File URL: http://www.sciencedirect.com/science/article/B6V84-4GCXBH1-3/2/13a955d7d2c6a32827f3f82cc1010b33
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 88 (2005)
Issue (Month): 3 (September)
Pages: 358-364

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Handle: RePEc:eee:ecolet:v:88:y:2005:i:3:p:358-364

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Web page: http://www.elsevier.com/locate/ecolet

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  1. Jeffrey M. Wooldridge, 1987. "Specification Testing and Quasi-Maximum Likelihood Estimation," Working papers 479, Massachusetts Institute of Technology (MIT), Department of Economics.
  2. Shiqing Ling & Michael McAleer, 2001. "Asymptotic Theory for a Vector ARMA-GARCH Model," ISER Discussion Paper 0549, Institute of Social and Economic Research, Osaka University.
  3. Wooldridge, Jeffrey M., 1991. "On the application of robust, regression- based diagnostics to models of conditional means and conditional variances," Journal of Econometrics, Elsevier, vol. 47(1), pages 5-46, January.
  4. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  5. White,Halbert, 1996. "Estimation, Inference and Specification Analysis," Cambridge Books, Cambridge University Press, number 9780521574464, October.
  6. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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Cited by:
  1. Visser, Marcel P., 2008. "Forecasting S&P 500 Daily Volatility using a Proxy for Downward Price Pressure," MPRA Paper 11100, University Library of Munich, Germany.

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