OpenAlex | Asymptotically optimal tests for non-linear autoregressive model with <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" display="inline" id="d1e21" altimg="si3.svg"><mml:mi>β</mml:mi></mml:math>-ARCH errors

Asymptotically optimal tests for non-linear autoregressive model with β-ARCH errors

Work

Year: 2021

Type: article

Source: Statistics & Probability Letters

Authors Naâmane Laïb, Tewfik Lounis

Institutions Centre National de la Recherche Scientifique, CY Cergy Paris Université

Cites: 20

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Related to: 10

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Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze