A goodness-of-fit test for ARCH(∞) models

Journal of Econometrics

Volumn 141, Issue 2, 2007, Pages 835-875

  Hidalgo, Javier ^a   Zaffaroni, Paolo ^b  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^b IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

Bootstrap tests; GARCH models; Model specification

Indexed keywords

ASYMPTOTIC ANALYSIS; FINITE ELEMENT METHOD; MATHEMATICAL MODELS; MONTE CARLO METHODS;

BOOTSTRAP TESTS; GARCH MODELS; MODEL SPECIFICATION;

TIME SERIES ANALYSIS;

EID: 34848893897     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2006.11.005     Document Type: Article

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