Testing for local covariate trend effects in volatility models
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Publication:2192311
DOI10.1214/20-EJS1722zbMath1450.62119MaRDI QIDQ2192311
Adriano Zanin Zambom, Yulia R. Gel
Publication date: 17 August 2020
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1594433077
Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Economic time series analysis (91B84) Analysis of variance and covariance (ANOVA) (62J10)
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