Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models
type: Item
instance of: scholarly article
title: Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models
zbMATH Open document ID: 0951.91062
DOI: 10.1016/S0165-1765(00)00212-3
author: Yanyan Li
published in: Economics Letters
publication date: 2000-06-04T00:00:00Z
Mathematics Subject Classification ID: 91B82
zbMATH DE Number: 1454482
zbMATH Keywords: GARCH models
zbMATH Keywords: asymmetries
zbMATH Keywords: misspecification
zbMATH Keywords: Engle and Ng tests
zbMATH Keywords: BDS test
Wikidata QID: Q58168593
MaRDI profile type: Publication
cites work: A test for independence based on the correlation dimension
cites work: The effect of (mis-specified) GARCH filters on the finite sample distribution of the BDS test
cites work: Conditional Heteroskedasticity in Asset Returns: A New Approach
full work available at URL: s0165-1765(00)00212-3
OpenAlex ID: W1491193538
description: scientific article; zbMATH DE number 1454482