A comparison of alternative techniques for selecting an optimum ARCH model
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Publication:5457923
DOI10.1080/10629360600932857zbMath1136.62370OpenAlexW2145839424MaRDI QIDQ5457923
Michael D. McKenzie, Heather Mitchell
Publication date: 10 April 2008
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10629360600932857
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- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- An Empirical Likelihood Goodness-of-Fit Test for Time Series
- Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals
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