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

By Christian Francq, Jean-Michel Zakoian. 2009

54 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/2878a321114d5a84d161abbb1169a2ca541451f7

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. A. Ahmad
2. Christian Francq
3. Jean-Michel Zakoian
4. Olivier Wintenberger
5. S. Ling
6. Christian M. Hafner

Citations in the corpus

• Poisson QMLE of Count Time Series Models (2016, methodology): “Estimators with similar asymptotic distributions have been studied by, for example, Andrews (1999), Francq and Zakoian (2009) and the references therein.”