Neural Tests for Conditional Heteroskedasticity in ARCH-M Models

DOI10.2202/1558-3708.1239zbMath1082.62523OpenAlexW1973361867MaRDI QIDQ3368353

Christian de Peretti, Carole Siani

Publication date: 27 January 2006

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1239

zbMATH Keywords

bootstrapNeural networkARCHtestsARCH-M

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09) Monte Carlo methods (65C05) Neural nets and related approaches to inference from stochastic processes (62M45)

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Analysing the performance of bootstrap neural tests for conditional heteroskedasticity in ARCH-M models

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