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Testing for linear autoregressive dynamics under heteroskedasticity

Hafner, Christian M and Herwartz, Helmut

Testing for linear autoregressive dynamics under heteroskedasticity J5045 2000 - 2000 - 177-197 V. 03 Issue. 2

Subjects--Topical Terms:
Econometrics

Subjects--Index Terms: Heteroskedasticity;Autoregression;Bootstrap;GARCH;Stochastic volatility;

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