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Publication Year:
1999
Tags:
ARCH model
Dick van Dijk
;
Philip Hans Franses
;
Andre Lucas
Testing for ARCH in the presence of additive outliers (replication data)
In this paper we investigate the properties of the Lagrange Multiplier [LM] test for autoregressive conditional heteroscedasticity (ARCH) and generalized ARCH (GARCH) in the...
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