A model specification test for GARCH(1,1) processes
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More about this item
KeywordsBootstrap ; Cramér-von Mises test ; GARCH processes ; V-statistic;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-12-06 (All new papers)
- NEP-ECM-2013-12-06 (Econometrics)
- NEP-ETS-2013-12-06 (Econometric Time Series)
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