Lucchetti, Riccardo; Rossi, Eduardo - In: Econometrics Journal 8 (2005) 3, pp. 306-322
The issue of finite-sample inference in Generalised Autoregressive Conditional Heteroskedasticity (GARCH)-like models has seldom been explored in the theoretical literature, although its potential relevance for practitioners is obvious. In some cases, asymptotic theory may provide a very poor...