Adaptive Test for Periodicity in Autoregressive Conditional Heteroskedastic Processes

DOI10.1080/03610918.2010.512694zbMath1205.62126OpenAlexW1990857098MaRDI QIDQ3072403

Mohamed Bentarzi, M. Merzougui

Publication date: 3 February 2011

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2010.512694

zbMATH Keywords

local asymptotic normalityadaptive testlocal asymptotic most stringent testperiodic ARCHSwensen's conditions

Mathematics Subject Classification ID

Related Items (3)

Adaptive test for periodicity in restrictive EXPAR(p) models ⋮ Adaptive Estimation of Periodic First-Order Threshold Autoregressive Model ⋮ Test for periodicity in restrictive EXPAR models

Cites Work

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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