Omitted asymmetric persistence and conditional heteroskedasticity

dc.contributorEscolas::EPGE
dc.contributorFGV
dc.creatorLima, Luiz Renato
dc.creatorNéri, Breno de Andrade Pinheiro
dc.date.accessioned2018-10-25T18:22:48Z
dc.date.accessioned2022-11-03T20:32:47Z
dc.date.available2018-10-25T18:22:48Z
dc.date.available2022-11-03T20:32:47Z
dc.date.created2018-10-25T18:22:48Z
dc.date.issued2006
dc.identifier1545-2921
dc.identifierhttp://hdl.handle.net/10438/24985
dc.identifier2-s2.0-84862887427
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/5040435
dc.description.abstractWe show that asymmetric persistence induces ARCH effects, but the LM-ARCH test has power against it. On the other hand, the test for asymmetric dynamics proposed by Koenker and Xiao (2004) has correct size under the presence of ARCH errors. These results suggest that the LM-ARCH and the Koenker-Xiao tests may be used in applied research as complementary tools.
dc.languageeng
dc.relationEconomics Bulletin
dc.rightsopenAccess
dc.sourceScopus
dc.subjectConditional heteroskedasticity
dc.subjectAsymmetric persistence
dc.subjectARCH effects
dc.subjectLM-ARCH
dc.titleOmitted asymmetric persistence and conditional heteroskedasticity
dc.typeArticle (Journal/Review)


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