A radial basis function artificial neural network test for ARCH

Authors
Blake, AP Kapetanios, G
Citation
Ap. Blake et G. Kapetanios, A radial basis function artificial neural network test for ARCH, ECON LETT, 69(1), 2000, pp. 15-23
Citations number
12
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
69
Issue
1
Year of publication
2000
Pages
15 - 23
Database
ISI
SICI code
0165-1765(200010)69:1<15:ARBFAN>2.0.ZU;2-D
Abstract
We propose a test for ARCH that uses a radial basis function artificial neu ral network. It outperforms alternative neural network tests in a variety o f Monte Carlo experiments. (C) 2000 Elsevier Science S.A. All rights reserv ed.