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misspeci"ed

By Robin L. Lumsdaine and Serena Ng

Abstract

for ARCH in the presence of a possibl

Topics: Autoregressive conditional heteroskedasticity, Model misspeci"cation, Recursive residuals, Lagrange multiplier test * Corresponding author
Year: 1997
OAI identifier: oai:CiteSeerX.psu:10.1.1.415.6413
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