Sign-based specification tests for martingale difference with conditional heteroscedasity
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More about this item
KeywordsConditional heteroscedasity; Cramer-von Mises test; Kolmogrove-Smirnov test; Martingale difference; Robustness.;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
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