Listagem FGV EESP - Textos para Discussão / Working Paper Series por Título "The finite-sample size of the BDS test for GARCH standardized residuals"

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    • The finite-sample size of the BDS test for GARCH standardized residuals 

      Fernandes, Marcelo; Preumont, Pierre-Yves
      2014-05-05
      This paper uses a multivariate response surface methodology to analyze the size distortion of the BDS test when applied to standardized residuals of rst-order GARCH processes. The results show that the asymptotic standard ...