The effect of conditional heteroskedasticity on common statistical procedures for means and variances

DOI10.1007/S101820400179zbMath1059.62093OpenAlexW2091822156MaRDI QIDQ1773038

Friedrich Schmid, Hendrik Kläver

Publication date: 22 April 2005

Published in: AStA. Allgemeines Statistisches Archiv (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s101820400179

zbMATH Keywords

t-testcoverage probabilityF-testGARCH(1,1)level of tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

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