Evaluating GARCH models
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References listed on IDEAS
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More about this item
KeywordsConditional heteroskedasticity; model misspecification test; nonlinear time series; parameter constancy; smooth transition GARCH.;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-1999-01-18 (All new papers)
- NEP-ECM-1999-01-18 (Econometrics)
- NEP-ETS-1999-01-18 (Econometric Time Series)
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