Open AccessTesting for local covariate trend effects in volatility models
Author(s) -
Adriano Zanin Zambom,
Yulia R. Gel
Publication year - 2020
Publication title -
electronic journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.482
H-Index - 54
ISSN - 1935-7524
DOI - 10.1214/20-ejs1722
Subject(s) - covariate , econometrics , volatility (finance) , heteroscedasticity , mathematics , test statistic , autoregressive model , statistics , statistic , statistical hypothesis testing