macrousa.dat
Creators:
Dick van Dijk
;
Philip Hans Franses
;
Andre Lucas
From the dataset abstract
In this paper we investigate the properties of the Lagrange Multiplier [LM] test for autoregressive conditional heteroscedasticity (ARCH) and generalized ARCH (GARCH) in the presence of...
Source: Testing for ARCH in the presence of additive outliers (replication data)
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Metadata
Field | Value |
---|---|
Format | dat |
License | CC-BY 4.0 |
URL | https://journaldata.zbw.eu/dataset/c4a4ceb8-90da-4659-b48b-d3d25746f637/resource/9bd86007-bb22-471c-b8d4-43b46093c904/download/macrousa.dat |
Last updated | November 10, 2022 |
Created | November 10, 2022 |