Omitted asymmetric persistence and conditional heteroskedasticity

dc.contributor.affiliation	FGV
dc.contributor.author	Lima, Luiz Renato
dc.contributor.author	Néri, Breno de Andrade Pinheiro
dc.contributor.unidadefgv	Escolas::EPGE	por
dc.date.accessioned	2018-10-25T18:22:48Z
dc.date.available	2018-10-25T18:22:48Z
dc.date.issued	2006
dc.description.abstract	We 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.	eng
dc.identifier	https://www.scopus.com/inward/record.uri?eid=2-s2.0-84862887427&partnerID=40&md5=1fb38478f6a65a8ddf20e689ea29abcf
dc.identifier.issn	1545-2921
dc.identifier.scopus	2-s2.0-84862887427
dc.identifier.uri	https://hdl.handle.net/10438/24985
dc.language.iso	eng
dc.relation.ispartofseries	Economics Bulletin
dc.rights.accessRights	openAccess	eng
dc.source	Scopus
dc.subject	Conditional heteroskedasticity	eng
dc.subject	Asymmetric persistence	eng
dc.subject	ARCH effects	eng
dc.subject	LM-ARCH	eng
dc.subject.area	Finanças	por
dc.subject.bibliodata	Volatilidade (Finanças)	por
dc.subject.bibliodata	Análise de séries temporais	por
dc.title	Omitted asymmetric persistence and conditional heteroskedasticity	eng
dc.type	Article (Journal/Review)	eng

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