Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap-Reference-Cited by-同舟云学术

Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap

Published:2012-08-16 Issue:3 Volume:40 Page:405-426
ISSN:0319-5724
Container-title:Canadian Journal of Statistics
language:en
Short-container-title:Can J Statistics

Author:

Gel Yulia R.,Chen Bei

Publisher

Wiley

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference61 articles.

1. Modelling and forecasting volatility;Andersen;Econometrica,2003

2. Processes of normal inverse Gaussian type;Barndorff-Nielsen;Finance and Stochastics,1997

3. ARCH and bilinearity as competing models for nonlinear dependence;Bera;Journal of Business and Economic Statistics,1997

4. Interaction between autocorrelation and conditional heteroskedasticity: A random-coefficient approach;Bera;Journal of Business and Economic Statistics,1992

5. Information matrix test, parameter heterogeneity and ARCH: A synthesis;Bera;The Review of Economic Studies,1993

Cited by 10 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. Agricultural policy and commodity price stabilisation in Ghana: The role of buffer stockholding operations;African Journal of Agricultural and Resource Economics;2021-12-31

2. Robust tests for ARCH in the presence of a misspecified conditional mean: A comparison of nonparametric approaches;Cogent Economics & Finance;2021-01-01

3. Capital Market Volatility MGARCH Analysis: Evidence from Southeast Asia;The Journal of Asian Finance, Economics and Business;2020-11-30

4. Garch Model Test Using High-Frequency Data;Mathematics;2020-11-02

5. On the test of the volatility proxy model;Communications in Statistics - Simulation and Computation;2020-10-27