Falsifying ARCH/GARCH models using bispectral based tests

Communications in Statistics - Theory and Methods

Volumn 38, Issue 4, 2009, Pages 529-541

  Hinich, Melvin ^a  

^a UNIVERSITY OF TEXAS AT AUSTIN   (United States)

Author keywords

ARCH; Bispectrum; GARCH; Reversibility; Trimming

Indexed keywords

LAW ENFORCEMENT; TESTING; TIME SERIES; TRIMMING;

AUTO-REGRESSIVE; BISPECTRUM; GARCH; GARCH MODELS; GAUSSIANITY; NON-LINEAR BEHAVIORS; NONPARAMETRIC TESTS; NULL HYPOTHESIS; REVERSIBILITY; STATISTICAL DESCRIPTIONS;

ARCHES;

EID: 60649119578     PISSN: 03610926     EISSN: 1532415X     Source Type: Journal    
DOI: 10.1080/03610920802245741     Document Type: Article

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