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• Masahito Kobayashi

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Article provided by Springer in its journal Asia-Pacific Financial Markets.

Volume (Year): 12 (2005)
Issue (Month): 2 (June)
Pages: 143-157
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Handle: RePEc:kap:apfinm:v:12:y:2005:i:2:p:143-157

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Related research

Keywords: jump process; Lagrange multiplier test; stochastic volatility process;

References listed on IDEAS
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.:

1. E.K. Berndt & B.H. Hall & R.E. Hall, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 103-116 National Bureau of Economic Research, Inc. [Downloadable!]
2. Andrews, Donald W K, 2001. "Testing When a Parameter Is on the Boundary of the Maintained Hypothesis," Econometrica, Econometric Society, vol. 69(3), pages 683-734, May.
   Other versions:
   • Donald W.K. Andrews, 1999. "Testing When a Parameter Is on the Boundary of the Maintained Hypothesis," Cowles Foundation Discussion Papers 1229, Cowles Foundation, Yale University. [Downloadable!]
3. Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January. [Downloadable!] (restricted)
   Other versions:
   • James D. Hamilton, 1995. "Specification Testing in Markov-Switching Time Series Models," University of California at San Diego, Economics Working Paper Series 95-34, Department of Economics, UC San Diego.

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This page was last updated on 2009-12-4.