Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons

Citations

Cited by:

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13. Francq, Christian & Thieu, Le Quyen, 2019. "Qml Inference For Volatility Models With Covariates," Econometric Theory, Cambridge University Press, vol. 35(1), pages 37-72, February.
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33. Royer, Julien, 2021. "Conditional asymmetry in Power ARCH($\infty$) models," MPRA Paper 109118, University Library of Munich, Germany.