Evaluating GARCH models.
type: Item
instance of: scholarly article
title: Evaluating GARCH models.
zbMATH Open document ID: 1040.62078
DOI: 10.1016/S0304-4076(02)00096-9
author: Stefan Lundbergh
author: Timo Teräsvirta
published in: Journal of Econometrics
publication date: 2003-02-17T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F03
Mathematics Subject Classification ID: 62F35
Mathematics Subject Classification ID: 62H15
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 1869231
zbMATH Keywords: conditional heteroskedasticity
zbMATH Keywords: model misspecification test
zbMATH Keywords: nonlinear time series
zbMATH Keywords: parameter constancy
zbMATH Keywords: smooth transition GARCH
MaRDI profile type: Publication
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full work available at URL: s0304-4076(02)00096-9
OpenAlex ID: W2103074656
description: scientific article; zbMATH DE number 1869231