Testing the existence of moments for GARCH processes
type: Item
instance of: scholarly article
title: Testing the existence of moments for GARCH processes
author: C. Francq
author: Jean-Michel Zakoïan
published in: Journal of Econometrics
publication date: 2022-03-16T00:00:00Z
full work available at URL: MPRA paper 98892.pdf
Mathematics Subject Classification ID: 62-XX
Mathematics Subject Classification ID: 91-XX
zbMATH DE Number: 7491148
zbMATH Keywords: conditional heteroskedasticity
zbMATH Keywords: efficiency comparisons
zbMATH Keywords: non-Gaussian QMLE
zbMATH Keywords: residual bootstrap
zbMATH Keywords: stationarity tests
MaRDI profile type: Publication
OpenAlex ID: W3009903813
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DOI: 10.1016/J.JECONOM.2020.05.009
description: scientific article; zbMATH DE number 7491148