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A signed power transformation with application to white noise testing

09/01/2021

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by Georgi N. Boshnakov, et al.

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We show that signed power transforms of some ARCH-type processes give ARCH-type processes. The class of ARCH-type models for which this property holds contains many common ARCH and GARCH models. The results can be useful in testing for white noise when fourth moments don't exist and detecting white noise that is not ARCH-type.

Georgi N. Boshnakov
7 publications
Davide Ravagli
4 publications

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