First order asymptotic theory for parametric misspecification tests of GARCH models

Andreea Halunga and Chris Orme ()

The School of Economics Discussion Paper Series from Economics, The University of Manchester

New Economics Papers: this item is included in nep-ecm, nep-ets and nep-upt
Date: 2007
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Journal Article: FIRST-ORDER ASYMPTOTIC THEORY FOR PARAMETRIC MISSPECIFICATION TESTS OF GARCH MODELS (2009)
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