ARCH and bilinearity as competing models for nonlinear dependence

Journal of Business and Economic Statistics

Volumn 15, Issue 1, 1997, Pages 43-50

  Bera, Anil K ^a   Higgins, Matthew L ^b  

^a UNIVERSITY OF ILLINOIS AT URBANA CHAMPAIGN   (United States)

^b WESTERN MICHIGAN UNIVERSITY   (United States)

Author keywords

Autoregressive conditional heteroscedasticity; Cox test; Nonnested models; Out of sample forecasts; Simulation approach

Indexed keywords

EID: 0031541210     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.1997.10524685     Document Type: Article

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