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Quasi-Maximum Likelihood Estimation Of Semi-Strong Garch Models

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  • Escanciano, Juan Carlos

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 25 (2009)
Issue (Month): 02 (April)
Pages: 561-570

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Handle: RePEc:cup:etheor:v:25:y:2009:i:02:p:561-570_09

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Cited by:
  1. Heejoon Han & Dennis Kristensen, 2012. "Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates," CREATES Research Papers 2012-25, School of Economics and Management, University of Aarhus.
  2. Carlos Escanciano, J., 2008. "Joint and marginal specification tests for conditional mean and variance models," Journal of Econometrics, Elsevier, vol. 143(1), pages 74-87, March.
  3. Christan Francq & Jean-Michel Zakoian, 2012. "Optimal Predictions of Powers of Conditionally Heteroskedastic Processes," Working Papers 2012-17, Centre de Recherche en Economie et Statistique.
  4. Todd, Prono, 2009. "Simple, Skewness-Based GMM Estimation of the Semi-Strong GARCH(1,1) Model," MPRA Paper 30994, University Library of Munich, Germany, revised 30 Jul 2011.
  5. Meitz, Mika & Saikkonen, Pentti, 2011. "Parameter Estimation In Nonlinear Ar–Garch Models," Econometric Theory, Cambridge University Press, vol. 27(06), pages 1236-1278, December.
  6. Todd, Prono, 2010. "Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model," MPRA Paper 20034, University Library of Munich, Germany.

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