Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons
Year of publication: |
2008
|
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Authors: | Francq, Christian ; Zakoian, Jean-Michel |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Asymptotic efficiency of tests | Boundary | Chi-bar distribution | GARCH model | Quasi Maximum Likelihood Estimation | Local alternatives |
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