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A goodness-of-fit test for ARCH(∞)(∞) models

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A goodness-of-fit test in the class of conditional heteroscedastic time series models is examined. Due to the nonstandard limiting distribution of the test, we propose to bootstrap the test, showing its asymptotic validity. Moreover, we illustrate the finite sample performance of the test by a small Monte Carlo study.

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en

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http://eprints.lse.ac.uk/35799/

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