A robust LR test for the GARCH model
type: Item
instance of: scholarly article
title: A robust LR test for the GARCH model
zbMATH Open document ID: 1254.91640
author: Thomas Busch
published in: Economics Letters
publication date: 2013-01-02T00:00:00Z
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 62M07
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 91B82
zbMATH DE Number: 6120977
zbMATH Keywords: GARCH
zbMATH Keywords: robust LR statistic
zbMATH Keywords: hypothesis testing
MaRDI profile type: Publication
full work available at URL: j.econlet.2005.03.006
OpenAlex ID: W2094450595
cites work: GARCH processes: structure and estimation
cites work: Generalized autoregressive conditional heteroscedasticity
cites work: Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
cites work: ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
cites work: The normal inverse gaussian lévy process: simulation and approximation
cites work: On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
cites work: Q2995585
DOI: 10.1016/J.ECONLET.2005.03.006
description: scientific article; zbMATH DE number 6120977