Simulation-based finite-sample tests for heteroskedasticity and ARCH effects

Dufour, Jean-Marie, Khalaf , Lynda, Bernard , Jean-Thomas, Genest, Ian . Journal of Econometrics 2004. 122 (2) :317-347

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Bibtex

@article{CIS-217903,
  Author = {Dufour, Jean-Marie and Khalaf , Lynda and Bernard , Jean-Thomas and Genest, Ian},
  Title = {Simulation-based finite-sample tests for heteroskedasticity and ARCH effects},
  Journal = {Journal of Econometrics},
  Volume = {122},
  Number = {2},
  Year = {2004},
  Pages = {317--347},
  Keywords = {Linear regression, Exact test, Specification test, Monte Carlo test, GARCH}
}

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