Testing for Common GARCH Factors
Year of publication: |
2011-06
|
---|---|
Authors: | Dovonon, Prosper ; Renault, Eric |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | GARCH factors | Nonstandard asymptotics | GMM | GMM overidenti fication test | identifi cation | first order identification |
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