A robust LR test for the GARCH model

DOI10.1016/J.ECONLET.2005.03.006zbMath1254.91640OpenAlexW2094450595MaRDI QIDQ1927913

Thomas Busch

Publication date: 2 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2005.03.006

zbMATH Keywords

hypothesis testingGARCHrobust LR statistic

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

Mean-variance cointegration and the expectations hypothesis

Cites Work

• Unnamed Item
• GARCH processes: structure and estimation
• Generalized autoregressive conditional heteroscedasticity
• On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• The normal inverse gaussian lévy process: simulation and approximation
• ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL

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