Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons

Christian Francq and Zakoïan, Jean-Michel
Authors registered in the RePEc Author Service: Jean-Michel Zakoian

Journal of the American Statistical Association, 2009, vol. 104, issue 485, 313-324

Date: 2009
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Working Paper: Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons (2008)
Working Paper: Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons (2008)
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