Testing for conditional heteroscedasticity: Some Monte Carlo results

Testing for conditional heteroscedasticity: Some Monte Carlo results

Journal of Statistical Computation and Simulation

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Bibliographic Details
Main Authors: Tse, Y.K., Zuo, X.L.
Other Authors: ECONOMICS & STATISTICS
Format: Article
Published: 2011
Subjects:
ARCH/GARCH models
Conditional heteroscedasticity
Portmanteau test
Runs test
Online Access:http://scholarbank.nus.edu.sg/handle/10635/19382
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Institution: National University of Singapore

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http://scholarbank.nus.edu.sg/handle/10635/19382

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