Robust score and portmanteau tests of volatility spillover
From MaRDI portal
Publication:473342
DOI10.1016/j.jeconom.2014.09.001zbMath1332.62294OpenAlexW3124640908MaRDI QIDQ473342
Mike Aguilar, Jonathan B. Hill
Publication date: 24 November 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.09.001
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35) Statistical methods; risk measures (91G70) Non-Markovian processes: hypothesis testing (62M07)
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