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ArticleA Lagrange multiplier test for GARCH models

John H. H. Lee1991

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Articlegreen1991

A Lagrange multiplier test for GARCH models

131 citations·0/0 files stored·Economics Letters

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Financial Risk and Volatility Modeling Advanced Statistical Methods and Models Statistical and numerical algorithms

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1978Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables

Cited by

1998Testing for GARCH effects: a one-sided approach 1997A new non-linear GARCH model 1993A Locally Most Mean Powerful Based Score Test for ARCH and GARCH Regression Disturbances 1993A Locally Most Mean Powerful Based Score Test for ARCH and GARCH Regression Disturbances 1997CO‐MOVEMENTS IN INTERNATIONAL EQUITY MARKETS 1997ARCH and Bilinearity as Competing Models for Nonlinear Dependence 2007Power arch modelling of the volatility of emerging equity markets 1997An examination of the effects of major political change on stock market volatility: the South African experience

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Details

Year1991

Typearticle

Published1991-11-01

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations131

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/0165-1765(91)90221-6

openalex_workW2008911797

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