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dc.contributor.authorMüller, Fernanda Mariapt_BR
dc.contributor.authorBayer, Fábio Marianopt_BR
dc.date.accessioned2019-10-30T03:45:39Zpt_BR
dc.date.issued2017pt_BR
dc.identifier.issn1545-2921pt_BR
dc.identifier.urihttp://hdl.handle.net/10183/201095pt_BR
dc.description.abstractThis work proposes a likelihood ratio test to assist in the selection of the Beta-Skew-t-EGARCH model with one or two volatility components. To improve the performance of the proposed test in small samples, the bootstrap-based likelihood ratio test and the bootstrap Bartlett correction are considered. The finite sample performance of the tests are assessed using Monte Carlo simulations. The numerical evidence favors the bootstrap-based test. The tests are applied to the DAX log-returns. The results demonstrate the practical usefulness of the proposed two-component tests.en
dc.format.mimetypeapplication/pdfpt_BR
dc.language.isoengpt_BR
dc.relation.ispartofEconomics bulletin. Nashville. Vol. 37, n. 4 (2017), p. 2364-2373pt_BR
dc.rightsOpen Accessen
dc.subjectAdministração financeirapt_BR
dc.titleImproved two-component tests in Beta-Skew-t-EGARCH modelspt_BR
dc.typeArtigo de periódicopt_BR
dc.identifier.nrb001104468pt_BR
dc.type.originEstrangeiropt_BR


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