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

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: 2009-03
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Published in Journal of the American Statistical Association, 2009, 104 (485), pp.313-324. ⟨10.1198/jasa.2009.0117⟩

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Related works:
Journal Article: Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons (2009)
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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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05417892

DOI: 10.1198/jasa.2009.0117

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