Testing for reduction to random walk in autoregressive conditional heteroskedasticity models
Kluppelberg, Claudia et al.
Testing for reduction to random walk in autoregressive conditional heteroskedasticity models J5039 2002 - 2002 - 387-416 V. 05 Issue. 2
Econometrics
AR Arch and AR GARCH models;Conditional heteroskedasticity;Autoregression;Unit root;Dickey fuller test;Pseudo likelihood ratio test;
Testing for reduction to random walk in autoregressive conditional heteroskedasticity models J5039 2002 - 2002 - 387-416 V. 05 Issue. 2
Econometrics
AR Arch and AR GARCH models;Conditional heteroskedasticity;Autoregression;Unit root;Dickey fuller test;Pseudo likelihood ratio test;