Testing for Common Conditionally Heteroskedastic Factors (Q5397571)
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scientific article; zbMATH DE number 6260919
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Testing for Common Conditionally Heteroskedastic Factors |
scientific article; zbMATH DE number 6260919 |
Statements
Testing for Common Conditionally Heteroskedastic Factors (English)
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24 February 2014
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common features
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GARCH factors
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nonstandard asymptotics
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GMM
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GMM overidentification test
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identification
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first-order identification
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