Testing for GARCH effects: A one-sided approach

Journal of Econometrics

Volumn 86, Issue 1, 1998, Pages 97-127

  Demos, Antonis ^a   Sentana, Enrique ^b  

^a ATHENS UNIVERSITY OF ECONOMICS AND BUSINESS   (Greece)

^b CEMFI   (Spain)

Author keywords

Inequality constraints; Lagrange multiplier; Likelihood ratio; Monte Carlo; Wald test

Indexed keywords

EID: 0242331998     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(97)00110-3     Document Type: Article

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