Tests for conditional ellipticity in multivariate GARCH models

Christian Francq, M.D. Jiménez-Gamero and S.G. Meintanis
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M.D. Jiménez-Gamero: Département de statistiques et de recherche opérationnelle, Université de Séville, Séville, Espagne, Universidad de Sevilla = University of Seville

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Date: 2017-02
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Published in Journal of Econometrics, 2017, 196 (2), pp.305-319. ⟨10.1016/j.jeconom.2016.10.001⟩

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Journal Article: Tests for conditional ellipticity in multivariate GARCH models (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05417316

DOI: 10.1016/j.jeconom.2016.10.001

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