Analysing the performance of bootstrap neural tests for conditional heteroskedasticity in ARCH-M models

Computational Statistics and Data Analysis

Volumn 51, Issue 5, 2007, Pages 2442-2460

  Siani, Carole ^a,b   de Peretti, Christian ^c  

^a UNIVERSITÉ LYON 1   (France)

^b AIX MARSEILLE UNIVERSITY   (France)

^c LONDON METROPOLITAN UNIVERSITY   (United Kingdom)

Author keywords

ARCH; ARCH M; Bootstrap; Neural network; Tests

Indexed keywords

COMPUTER SIMULATION; MATHEMATICAL MODELS; MONTE CARLO METHODS; PROBLEM SOLVING; STATISTICAL TESTS;

ARCH; ARCH-M; BOOTSTRAP;

NEURAL NETWORKS;

EID: 33750986159     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.08.025     Document Type: Article

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