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A comparison of the power of some tests for conditional heteroscedasticity
Péguin-Feissolle, Anne - In: Economics letters 63 (1999) 1, pp. 5-17
Persistent link: https://www.econbiz.de/10001398780
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Modeling the volatility of the US S&P 500 index using an LSTGARCH model
Dufrénot, Gilles; Marimoutou, Vêlayoudom; … - In: Revue d'économie politique 114 (2004) 4, pp. 453-465
Persistent link: https://www.econbiz.de/10002233739
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Finite sample properties of tests for STGARCH models and application to the US stock returns
Dufrénot, Gilles; Marimoutou, Vêlayoudom; … - In: Progress in financial markets research, (pp. 83-101). 2012
Persistent link: https://www.econbiz.de/10009678565
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Tests of the constancy of conditional correlations of unknown functional form in multivariate GARCH models
Péguin-Feissolle, Anne; Sanhaji, Bilel - In: Annals of economics and statistics 123/124 (2016), pp. 77-101
Persistent link: https://www.econbiz.de/10011592735
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Testing for misspecification in the short-run component of GARCH-type models
Chuffart, Thomas; Flachaire, Emmanuel; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 5, pp. 1-17
Persistent link: https://www.econbiz.de/10011965362