A Radial Basis Function Artificial Neural Network Test for ARCH

Andrew Peter Blake () and George Kapetanios ()

NIESR Discussion Papers from National Institute of Economic and Social Research

Abstract: We propose a test for ARCH that uses a radial basis function artificial neural network. It outperforms alternative neural network tests in a variety of Monte Carlo experiments.

Date: 1999-09

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Related works:
Journal Article: A radial basis function artificial neural network test for ARCH (2000)
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