A Radial Basis Function Artificial Neural Network Test for ARCH
AbstractWe propose a test for ARCH that uses a radial basis function artificial neural network. It outperforms alternative neural network tests in a variety of Monte Carlo experiments.
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Bibliographic InfoPaper provided by National Institute of Economic and Social Research in its series NIESR Discussion Papers with number 188.
Date of creation: Sep 1999
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- Blake, Andrew P. & Kapetanios, George, 2000. "A radial basis function artificial neural network test for ARCH," Economics Letters, Elsevier, vol. 69(1), pages 15-23, October.
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