A Model Specification Test For GARCH(1,1) Processes

Scandinavian Journal of Statistics 2015 / 12 Vol. 42; Iss. 4

A Model Specification Test For GARCH(1,1) Processes

Leucht, Anne, Kreiss, Jens-Peter, Neumann, Michael H.
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Volume:
42
Language:
english
Journal:
Scandinavian Journal of Statistics
DOI:
10.1111/sjos.12158
Date:
December, 2015
File:
PDF, 716 KB
english, 2015
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