A simple test for GARCH against a Stochastic Volatility model

Journal of Financial Econometrics

Volumn 6, Issue 3, 2008, Pages 291-306

  Franses, Philip Hans ^a   van der Leij, Marco ^b   Paap, Richard ^a  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

^b UNIVERSITY OF ALICANTE   (Spain)

Author keywords

GARCH; Model selection; Stochastic volatility

Indexed keywords

EID: 45149107471     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbn008     Document Type: Article

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