GARCH Diagnosis with Portmanteau Bicorrelation Test: An Application on the Malaysia's Stock Market
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More about this item
KeywordsGARCH; Non-linearity; Non-stationarity; Data generating process; Bicorrelation; Malaysian stock market.;
- G - Financial Economics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-07-29 (All new papers)
- NEP-CFN-2003-07-29 (Corporate Finance)
- NEP-ETS-2003-07-29 (Econometric Time Series)
- NEP-RMG-2003-07-29 (Risk Management)
- NEP-SEA-2003-07-29 (South East Asia)
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