Patrimony
The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).
Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance.
ARCH-LM tests, Adaptive tests, Bandwidth selection, Kernel smoothing, Portmanteau tests, Time-varying variance
Corrected portmanteau tests for VAR models with time-varying variance.
Portmanteau tests, Residual autocorrelations, Unconditionally heteroscedastic errors, VAR model
Goodness-of-fit tests for extended Log-GARCH models.
EGARCH, Invertibility of time series models, LM tests, Log-GARCH, Portmanteau tests, Quasi-Maximum Likelihood