A comparison of the power of some tests for conditional heteroscedasticity-Reference-Cited by-同舟云学术

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A comparison of the power of some tests for conditional heteroscedasticity

Published:1999-04 Issue:1 Volume:63 Page:5-17
ISSN:0165-1765
Container-title:Economics Letters
language:en
Short-container-title:Economics Letters

Author:

Peguin-Feissolle Anne

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference13 articles.

1. ARCH models: properties, estimation and testing;Bera;Journal of Economic Surveys,1993

2. ARCH modeling in finance: a review of the theory and empirical evidence;Bollerslev;Journal of Econometrics,1992

3. Arch models;Bollerslev,1994

4. A Test for Conditional Heteroscedasticity Based on Artificial Neural Networks. GREQAM Working Paper;Caulet,1998

5. Estimation and Inference in Econometrics;Davidson,1993

Cited by 12 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Knowledge Acquisition and Design Using Semantics and Perception: A Case Study for Autonomous Robots;Neural Processing Letters;2020-07-27

2. Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap;Canadian Journal of Statistics;2012-08-16

3. Bibliography;Handbook of Volatility Models and Their Applications;2012-03-27

4. Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean;Journal of Econometrics;2007-04

5. Analysing the performance of bootstrap neural tests for conditional heteroskedasticity in ARCH-M models;Computational Statistics & Data Analysis;2007-02

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