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Variance targeting estimation of multivariate GARCH models
Francq, Christian; Horváth, Lajos; Zakoïan, Jean-Michel - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
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Testing the existence of moments for GARCH processes
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 227 (2022) 1, pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
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Inference on multiplicative component GARCH without any small-order moment
Francq, Christian; Kandji, Baye Matar; Zakoïan, Jean-Michel - 2022
Persistent link: https://www.econbiz.de/10013206984