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HYPOTHESIS TESTING FOR ARCH MODELS: A MULTIPLE QUANTILE REGRESSIONS APPROACH - MaRDI portal

HYPOTHESIS TESTING FOR ARCH MODELS: A MULTIPLE QUANTILE REGRESSIONS APPROACH (Q2937711)

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HYPOTHESIS TESTING FOR ARCH MODELS: A MULTIPLE QUANTILE REGRESSIONS APPROACH
scientific article

    Statements

    title
    HYPOTHESIS TESTING FOR ARCH MODELS: A MULTIPLE QUANTILE REGRESSIONS APPROACH (English)
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    author
    Seon Jin Kim
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    publication date
    12 January 2015
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    zbMATH Keywords
    ARCH model
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    conditional heteroscedasticity
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    hypothesis testing
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    quantile regression
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    Identifiers

    DOI
    10.1111/jtsa.12089
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    Mathematics Subject Classification ID
    62M07
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    62G08
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    62M10
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    62G10
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    62G30
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    zbMATH DE Number
    6385581
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    OpenAlex ID
    W1487152386
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