Testing for GARCH effects: a one-sided approach
- 1 September 1998
- journal article
- research article
- Published by Elsevier in Journal of Econometrics
- Vol. 86 (1) , 97-127
- https://doi.org/10.1016/s0304-4076(97)00110-3
Abstract
No abstract availableKeywords
All Related Versions
This publication has 46 references indexed in Scilit:
- A test for the presence of conditional heteroskedasticity within arch-m frameworkEconometric Reviews, 1995
- Optimal Tests when a Nuisance Parameter is Present Only Under the AlternativeEconometrica, 1994
- Chapter 49 Arch modelsPublished by Elsevier ,1994
- An introduction to econometric applications of empirical process theory for dependent random variablesEconometric Reviews, 1993
- ARCH modeling in financeJournal of Econometrics, 1992
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariancesEconometric Reviews, 1992
- A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of ReturnThe Review of Economics and Statistics, 1987
- Generalized autoregressive conditional heteroskedasticityJournal of Econometrics, 1986
- On asymptotic tests of composite hypotheses in nonstandard conditionsBiometrika, 1974
- On the Distribution of the Likelihood RatioThe Annals of Mathematical Statistics, 1954