The BDS test as a test for the adequacy of a GARCH(1,1) specification: A Monte Carlo study

Journal of Financial Econometrics

Volumn 3, Issue 2, 2005, Pages 282-309

  Caporale, Guglielmo Maria ^a   Ntantamis, Christos ^b   Pantelidis, Theologos ^b   Pittis, Nikitas ^b  

^a BRUNEL UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF PIRAEUS   (Greece)

Author keywords

BDS test; GARCH(1,1) model; Nuisance parameter free property; QML estimator

Indexed keywords

EID: 27244432263     PISSN: 14798409     EISSN: None     Source Type: Journal    
DOI: 10.1093/jjfinec/nbi010     Document Type: Article

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