Testing the existence of moments for GARCH processes

DOI10.1016/J.JECONOM.2020.05.009OpenAlexW3009903813MaRDI QIDQ2116322

Christian Francq, Jean-Michel Zakoian

Publication date: 16 March 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/98892/1/MPRA_paper_98892.pdf

zbMATH Keywords

conditional heteroskedasticitystationarity testsresidual bootstrapefficiency comparisonsnon-Gaussian QMLE

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cites Work

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