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Testing in GARCH-X Type Models
Rasmus Søndergaard Pedersen
,
Anders Rahbek
8
Citations (Scopus)
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Dive into the research topics of 'Testing in GARCH-X Type Models'. Together they form a unique fingerprint.
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Mathematics
Type Model
100%
Nuisance Parameter
40%
Parameter Space
40%
Covariate
40%
GARCH Model
20%
Asymptotic Theory
20%
Integer
20%
Sequential Testing
20%
Stationarity
20%
Ergodicity
20%
Likelihood Ratio Test
20%
Null
20%
Gaussian Distribution
20%
Keyphrases
GARCH-X
100%
X-type
100%
Parameter Space
28%
Stationarity
14%
Nuisance Parameters on the Boundary
14%
Novel Theory
14%
Regularity Assumption
14%
Asymptotic Theory
14%
Exogenous Covariates
14%
Sequential Testing
14%
Likelihood Ratio Test
14%
Distributed Innovation
14%
Integer-valued GARCH Model
14%
Generalized Autoregressive Conditional Heteroscedasticity (GARCH)
14%
Nuisance Parameter
14%
Computer Science
Parameter Space
100%
Nuisance Parameter
100%
Likelihood Ratio
50%