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Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean

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Author Info
Blake, Andrew P.
Kapetanios, George

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4K8SC8S-1/2/09338ee26647a8bbe159d1654b3a618d
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 137 (2007)
Issue (Month): 2 (April)
Pages: 472-488
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Handle: RePEc:eee:econom:v:137:y:2007:i:2:p:472-488

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

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  1. David Peel & Ivan Paya & E Pavlidis, 2009. "Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form," Working Papers 005913, Lancaster University Management School, Economics Department. [Downloadable!]
  2. Sitzia, Bruno & Iovino, Doriana, 2008. "Nonlinearities in Exchange rates: Double EGARCH Threshold Models for Forecasting Volatility," MPRA Paper 8661, University Library of Munich, Germany. [Downloadable!]
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This page was last updated on 2010-1-4.

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