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A Locally Most Mean Powerful Based Score Test for ARCH and GARCH Regression Disturbances

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2007Multivariate Tests of Mean–Variance Efficiency With Possibly Non-Gaussian Errors76 cited
2009Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons55 cited
1997An examination of the effects of major political change on stock market volatility: the South African experience49 cited
1999A New Test for ARCH Effects and Its Finite-Sample Performance47 cited
2004Optimal Portfolio Allocation Under Higher Moments37 cited
2014

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ARCH and GARCH Models

28 cited