Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons (Q5256127): Difference between revisions
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Latest revision as of 02:45, 20 March 2024
scientific article; zbMATH DE number 6448253
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons |
scientific article; zbMATH DE number 6448253 |
Statements
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons (English)
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22 June 2015
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asymptotic efficiency
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boundary
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chi-bar distribution
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local alternatives
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quasi-maximum likelihood estimation
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score tests
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Wald tests
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