A Comparison of the Power of Some Tests for Conditional Heteroscedasticity
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Other versions of this item:
- Peguin-Feissolle, Anne, 1999. "A comparison of the power of some tests for conditional heteroscedasticity," Economics Letters, Elsevier, vol. 63(1), pages 5-17, April.
- Anne Peguin-Feissolle, 1999. "A comparison of the power of some tests for conditional heteroscedasticity," Post-Print halshs-00390157, HAL.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Gilles Dufrénot & Velayoudom Marimoutou & Anne Péguin-Feissolle, 2004. "Modeling the volatility of the US SαP 500 index using an LSTGARCH model," Revue d'économie politique, Dalloz, vol. 114(4), pages 453-465.
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"Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix),"
- Anne Péguin-Feissolle & Bilel Sanhaji, 2015. "Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix)," AMSE Working Papers 1516, Aix-Marseille School of Economics, Marseille, France.
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- Teresa Aparicio & Inmaculada Villanua, 2001. "The asymptotically efficient version of the information matrix test in binary choice models. A study of size and power," Journal of Applied Statistics, Taylor & Francis Journals, vol. 28(2), pages 167-182.
More about this item
KeywordsTESTING ; ECONOMETRICS ; HETEROSKEDASTICITY;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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