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Score tests for hyperbolic GARCH models
Muyi LI, Guodong LI,
Wai Keung LI
Department of Mathematics and Information Technology (MIT)
Research output
:
Contribution to journal
›
Articles
›
peer-review
6
Citations (Scopus)
Overview
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Dive into the research topics of 'Score tests for hyperbolic GARCH models'. Together they form a unique fingerprint.
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Business & Economics
Score Test
100%
GARCH Model
70%
Decay
50%
Long-range Dependence
49%
Monte Carlo Simulation
35%
Local Alternatives
32%
ARCH Models
26%
Simulation Experiment
25%
Test Statistic
24%
Coefficients
16%
Performance
8%
Mathematics
GARCH Model
92%
Score Test
80%
Decay
28%
ARCH Models
22%
Long-range Dependence
21%
Local Alternatives
21%
Monte Carlo Experiment
20%
Volatility
19%
Simulation Experiment
19%
Null hypothesis
16%
Monte Carlo Simulation
14%
Test Statistic
14%
Performance
10%
Coefficient
8%
Social Sciences
simulation
13%
statistics
12%
experiment
10%
performance
7%