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

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Francq, Christian
Zakoïan, Jean-Michel

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File URL: http://pubs.amstat.org/doi/abs/10.1198/jasa.2009.0117
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Article provided by American Statistical Association in its journal Journal of the American Statistical Association.

Volume (Year): 104 (2009)
Issue (Month): 485 ()
Pages: 313-324
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Handle: RePEc:bes:jnlasa:v:104:i:485:y:2009:p:313-324

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  1. Maxwell King & Ping Wu, 1997. "Locally optimal one-sided tests for multiparameter hypotheses," Econometric Reviews, Taylor and Francis Journals, vol. 16(2), pages 131-156. [Downloadable!] (restricted)
  2. Bougerol, Philippe & Picard, Nico, 1992. "Stationarity of Garch processes and of some nonnegative time series," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 115-127. [Downloadable!] (restricted)
  3. Nelson, Daniel B & Cao, Charles Q, 1992. "Inequality Constraints in the Univariate GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 229-35, April.
  4. Carrasco, Marine & Chen, Xiaohong, 2002. "Mixing And Moment Properties Of Various Garch And Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 18(01), pages 17-39, February. [Downloadable!]
  5. Lee, John H H & King, Maxwell L, 1993. "A Locally Most Mean Powerful Based Score Test for ARCH and GARCH Regression Disturbances," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 17-27, January.
  6. Shiqing Ling & Michael McAleer, 2001. "On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors," ISER Discussion Paper 0548, Institute of Social and Economic Research, Osaka University. [Downloadable!]
  7. Demos, Antonis & Sentana, Enrique, 1998. "Testing for GARCH effects: a one-sided approach," Journal of Econometrics, Elsevier, vol. 86(1), pages 97-127, June. [Downloadable!] (restricted)
  8. Claudia Klüppelberg & Ross A. Maller & Mark van de Vyver & Derick Wee, 2002. "Testing for reduction to random walk in autoregressive conditional heteroskedasticity models," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 387-416, 06. [Downloadable!] (restricted)
  9. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
  10. Dufour, J.M. & Khalaf, L. & Bernard, J.T. & Genest, I., 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," Cahiers de recherche 2001-08, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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  11. Hong, Yongmiao & Lee, Jin, 2001. "One-Sided Testing For Arch Effects Using Wavelets," Econometric Theory, Cambridge University Press, vol. 17(06), pages 1051-1081, December. [Downloadable!]
  12. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January. [Downloadable!] (restricted)
  13. Francq, Christian & Zako an, Jean-Michel, 2006. "Mixing Properties Of A General Class Of Garch(1,1) Models Without Moment Assumptions On The Observed Process," Econometric Theory, Cambridge University Press, vol. 22(05), pages 815-834, October. [Downloadable!]
  14. Drost, Feike C. & Klaassen, Chris A. J., 1997. "Efficient estimation in semiparametric GARCH models," Journal of Econometrics, Elsevier, vol. 81(1), pages 193-221, November. [Downloadable!] (restricted)
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  15. Andrews, Donald W K, 2001. "Testing When a Parameter Is on the Boundary of the Maintained Hypothesis," Econometrica, Econometric Society, vol. 69(3), pages 683-734, May.
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