First-order Asymptotic Theory for Parametric Misspecification Tests of GARCH Models

Andreea Halunga, Chris D. Orme

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@article{c9083a0eb959401d9994fbeb980b15ee,

title = "First-order Asymptotic Theory for Parametric Misspecification Tests of GARCH Models",

author = "Andreea Halunga and Orme, {Chris D.}",

year = "2009",

month = apr,

doi = "10.1017/S0266466608090129",

language = "English",

volume = "25",

pages = "364--410",

journal = "Econometric Theory",

issn = "0266-4666",

publisher = "Cambridge University Press",

number = "2",

}

TY - JOUR

T1 - First-order Asymptotic Theory for Parametric Misspecification Tests of GARCH Models

AU - Halunga, Andreea

AU - Orme, Chris D.

PY - 2009/4

Y1 - 2009/4

UR - http://dx.doi.org/10.1017/S0266466608090129

U2 - 10.1017/S0266466608090129

DO - 10.1017/S0266466608090129

M3 - Article

SN - 0266-4666

VL - 25

SP - 364

EP - 410

JO - Econometric Theory

JF - Econometric Theory

IS - 2

ER -