Residual-based rank specification tests for AR–GARCH type models

Authors

Keywords

Conditional heteroskedasticity, Linear and quadratic residual autocorrelation tests, Model misspecification test, Nonlinear time series, Parameter constancy, Residual symmetry tests

Journal

JOURNAL OF ECONOMETRICS

Volume 185, Issue 2, Pages 305-331

Publisher

Elsevier BV

Online

2014-11-22

DOI

10.1016/j.jeconom.2014.11.001

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