Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models
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Publication:2859073
DOI10.3982/ECTA9405zbMath1274.62590MaRDI QIDQ2859073
Jean-Michel Zakoian, Christian Francq
Publication date: 6 November 2013
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3982/ecta9405
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M07: Non-Markovian processes: hypothesis testing
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