A goodness-of-fit test for ARCH($∊fty$) models

Hidalgo, Javier, Zaffaroni, Paolo . Journal of Econometrics 2007. 141 (2) :973-1013

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Bibtex

@article{CIS-249556,
  Author = {Hidalgo, Javier and Zaffaroni, Paolo},
  Title = {A goodness-of-fit test for ARCH($∊fty$) models},
  Journal = {Journal of Econometrics},
  Volume = {141},
  Number = {2},
  Year = {2007},
  Pages = {973--1013},
  Keywords = {Model specification, Bootstrap tests, GARCH models}
}

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