Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified

By Jun Ma, Charles R. Nelson, R. Startz. 2007

59 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c75c20944b2abddbf72af669f6fa518ba949ebf4

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In Economics and Econometrics

1. Eric Zivot
2. B. Hansen
3. Tālis J. Putniņš
4. James Morley

In Finance

1. Eric Zivot
2. Tālis J. Putniņš

Citations in the corpus

• Practical Issues in the Analysis of Univariate GARCH Models (2009, methodology): “Also, the GARCH estimates for the S&P 500 reflect some of the characteristics of spurious GARCH effects as discussed in [66].”