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Finite sample properties of tests for STGARCH models and application to the US stock returns

Author

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  • Gilles Dufrénot

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique)

  • Vêlayoudom Marimoutou

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique)

  • Anne Peguin-Feissolle

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique)

Abstract

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Suggested Citation

  • Gilles Dufrénot & Vêlayoudom Marimoutou & Anne Peguin-Feissolle, 2009. "Finite sample properties of tests for STGARCH models and application to the US stock returns," Post-Print halshs-00403714, HAL.
    • Handle: RePEc:hal:journl:halshs-00403714
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    Keywords

    STGARCH; US stock returns;

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