Estimation and testing for the parameters of ARCH(q) under ordered restriction
From MaRDI portal
Publication:4677026
DOI10.1111/j.1467-9892.2004.01763.xzbMath1062.62207MaRDI QIDQ4677026
De-Hui Wang, Lixin Song, Ning-Zhong Shi
Publication date: 20 May 2005
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2004.01763.x
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F03: Parametric hypothesis testing
62F30: Parametric inference under constraints
Related Items
Cites Work