First order asymptotic theory for parametric misspecification tests of GARCH models

Andreea Halunga and Chris Orme ()

Economics Discussion Paper Series from Economics, The University of Manchester

Date: 2007
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-upt
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Journal Article: FIRST-ORDER ASYMPTOTIC THEORY FOR PARAMETRIC MISSPECIFICATION TESTS OF GARCH MODELS (2009)
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