Inference in nonstationary asymmetric GARCH models

Christian Francq and Jean-Michel Zakoïan
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Jean-Michel Zakoïan: LFA - Laboratoire de Finance Assurance - Centre de Recherche en Économie et Statistique (CREST) - Groupe ENSAE-ENSAI - Groupe des Écoles Nationales d'Économie et Statistique, EQUIPPE - Economie Quantitative, Intégration, Politiques Publiques et Econométrie - Université de Lille, Sciences et Technologies - Université de Lille, Sciences Humaines et Sociales - PRES Université Lille Nord de France - Université de Lille, Droit et Santé

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Date: 2013-08-01
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Published in The Annals of Statistics, 2013, 41 (4), ⟨10.1214/13-AOS1132⟩

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Related works:
Working Paper: Inference in Non Stationary Asymmetric Garch Models (2013)
Working Paper: Inference in non stationary asymmetric garch models (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05417494

DOI: 10.1214/13-AOS1132

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