Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean

DOI10.1016/j.jeconom.2005.08.007zbMath1360.62542OpenAlexW3125357648MaRDI QIDQ276926

George Kapetanios, Andrew P. Blake

Publication date: 4 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.08.007

zbMATH Keywords

neural networksnonlinearityARCH

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A radial basis function artificial neural network test for neglected nonlinearity
• Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives
• Approximation by superpositions of a sigmoidal function

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