Simulation-based exact jump tests in models with conditional heteroskedasticity
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Publication:951480
DOI10.1016/S0165-1889(03)00034-4zbMath1187.62138OpenAlexW2014321563MaRDI QIDQ951480
Jean-François Bilodeau, Lynda Khalaf, Jean-Daniel M. Saphores
Publication date: 24 October 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1889(03)00034-4
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Microeconomic theory (price theory and economic markets) (91B24) Non-Markovian processes: hypothesis testing (62M07)
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