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First-order asymptotic theory for parametric misspecification tests of GARCH models
Halunga, Andreea G.; Orme, Chris D. - In: Econometric theory 25 (2009) 2, pp. 364-410
Persistent link: https://www.econbiz.de/10003818296
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An investigation of parametric tests of CCC assumption
Shadat, Wasel; Orme, Chris D. - 2011
Persistent link: https://www.econbiz.de/10009373471
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Robust parametric tests of constant conditional correlation in a MGARCH model
Shadat, Wasel; Orme, Chris D. - In: Econometric reviews 37 (2018) 6/10, pp. 551-576
Persistent link: https://www.econbiz.de/10012039397