Inference and testing on the boundary in extended constant conditional correlation GARCH models
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Publication:341884
DOI10.1016/j.jeconom.2016.09.004zbMath1443.62282OpenAlexW3122290618MaRDI QIDQ341884
Publication date: 17 November 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.econ.ku.dk/english/research/publications/wp/dp_2015/1510.pdf
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)
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