Small-Sample Properties of ARCH Estimators and Tests

Robert F. Engle · David Forbes Hendry · David Trumble

185 citations0/0 files storedCanadian Journal of Economics/Revue canadienne d économique

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Advanced Statistical Methods and Models

Abstract

Robert F. Engle, David F. Hendry, David Trumble, Small-Sample Properties of ARCH Estimators and Tests, The Canadian Journal of Economics / Revue canadienne d'Economique, Vol. 18, No. 1, Econometrics Special (Feb., 1985), pp. 66-93

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1984ARMA MODELS WITH ARCH ERRORS

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1999Testing for ARCH in the presence of additive outliers 2006Small sample properties of GARCH estimates and persistence 1995Finite-Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models: A Monte Carlo Investigation 1998Testing for GARCH effects: a one-sided approach 1992Alternative estimators for factor garch models—A monte carlo comparison 2000An Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification 1993A Locally Most Mean Powerful Based Score Test for ARCH and GARCH Regression Disturbances 2001Econometric Forecasting

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