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Residual based diagnostics for conditional heteroscedasticity models

Tse, Y.K

Residual based diagnostics for conditional heteroscedasticity models J3059 2002 - 2002 - 358-373 V. 05 Issue. 2

Subjects--Topical Terms:
Econometrics

Subjects--Index Terms: Conditional heteroscedasticity;Lagrange multiplier test;Monte carlo experiment;Portmanteau statistic;Residual based diagnostic;

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