Testing for common conditionally heteroskedastic factors
by Prosper Dovonon and Eric Renault
| Year of publication: |
2013
|
|---|---|
| Authors: | Dovonon, Prosper ; Renault, Eric |
| Published in: |
Econometrica : journal of the Econometric Society, an international 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
|
| Subject: | Common features | GARCH factors | nonstandard asymptotics | GMM | GMM overidentification test | identification | first-order identification | Momentenmethode | Method of moments | ARCH-Modell | ARCH model | Heteroskedastizität | Heteroscedasticity | Schätztheorie | Estimation theory | Statistische Methodenlehre | Statistical theory | Zeitreihenanalyse | Time series analysis |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010237396