Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons
Christian Francq and Jean-Michel Zakoi͏̈an
| Year of publication: |
2009
|
|---|---|
| Authors: | Francq, Christian ; Zakoïan, Jean-Michel |
| Published in: |
Journal of the American Statistical Association : JASA. - Philadelphia, Pa. : Taylor & Francis Group, ISSN 0162-1459, ZDB-ID 207602-0. - Vol. 104.2009, 485, p. 313-324
|
| Subject: | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
| 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/10003878194