Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap
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Publication:2856548
DOI10.1002/CJS.11149zbMath1349.62401OpenAlexW2160725414MaRDI QIDQ2856548
Publication date: 29 October 2013
Published in: Canadian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/cjs.11149
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09) Economic time series analysis (91B84)
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