Testing for common conditionally heteroskedastic factors
Year of publication: |
2013
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Authors: | Dovonon, Prosper ; Renault, Eric |
Published in: |
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics. - [Wechselnde Erscheinungsorte] : [Wechselnde Verlage], ISSN 0012-9682, ZDB-ID 1798-X. - Vol. 81.2013, 6, p. 2561-2586
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Subject: | Common features | GARCH factors | nonstandard asymptotics | GMM | GMM overidentification test | identification | first-order identification | Theorie | Theory | ARCH-Modell | ARCH model | Momentenmethode | Method of moments | Zeitreihenanalyse | Time series analysis |
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