Finite sample properties of tests for STGARCH models and application to the US stock returns

Gilles Dufrénot (), Vêlayoudom Marimoutou () and Anne Peguin-Feissolle
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Vêlayoudom Marimoutou: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique
Anne Peguin-Feissolle: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique

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Keywords: STGARCH; US stock returns (search for similar items in EconPapers)
Date: 2009
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Published in C. KYRTSOU. Progress in Financial Markets Research, Nova Science Publishers, New York, 2009

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00403714

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