Preliminary test of fit in a general class of conditionally heteroscedastic nonlinear time series

DOI10.1080/00949655.2011.558087zbMath1431.62352OpenAlexW2016079149MaRDI QIDQ4912051

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Publication date: 21 March 2013

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2011.558087

zbMATH Keywords

nonlinear time seriesconditional heteroscedasticitynonlinear GARCHpreliminary test of it

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

Quasilikelihood and quasi-maximum likelihood for GARCH-type processes: estimating function approach

Cites Work

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