Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
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Publication:2236868
DOI10.1016/j.jeconom.2020.10.007OpenAlexW3125355978MaRDI QIDQ2236868
Publication date: 26 October 2021
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1907.04147
QMLELagrange multiplier testportmanteau testadaptive inferencesemiparametric BEKK modelsemiparametric GARCH model
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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