Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity 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: 2012
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Published in Econometrica, 2012, 80 (2), pp.821-861. ⟨10.3982/ECTA9405⟩

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Journal Article: Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05417534

DOI: 10.3982/ECTA9405

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