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 |
Type of publication: | Book / Working Paper |
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Language: | English |
Notes: | Francq, Christian and Zakoian, Jean-Michel (2008): Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons. |
Classification: | C12 - Hypothesis Testing ; C22 - Time-Series Models ; C01 - Econometrics |
Source: | BASE |
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