Testing for Common Conditionally Heteroskedastic Factors (Q5397571)

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scientific article; zbMATH DE number 6260919
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Testing for Common Conditionally Heteroskedastic Factors
scientific article; zbMATH DE number 6260919

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    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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