Quasi-Maximum Likelihood Estimation Of Semi-Strong Garch Models
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 25 (2009)
Issue (Month): 02 (April)
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- Mika Meitz & Pentti Saikkonen, 2008.
"Parameter estimation in nonlinear AR-GARCH models,"
Economics Series Working Papers
396, University of Oxford, Department of Economics.
- Mika Meitz & Pentti Saikkonen, 2010. "Parameter estimation in nonlinear AR–GARCH models," KoÃ§ University-TUSIAD Economic Research Forum Working Papers 1002, Koc University-TUSIAD Economic Research Forum.
- Mika Meitz & Pentti Saikkonen, 2008. "Parameter estimation in nonlinear AR-GARCH models," CREATES Research Papers 2008-30, School of Economics and Management, University of Aarhus.
- Mika Meitz & Pentti Saikkonen, 2008. "Parameter Estimation in Nonlinear AR-GARCH Models," Economics Working Papers ECO2008/25, European University Institute.
- M. Jiménez Gamero, 2014. "On the empirical characteristic function process of the residuals in GARCH models and applications," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 23(2), pages 409-432, June.
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- 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.
- 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.
- Heejoon Han & Dennis Kristensen, 2013. "Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates," CeMMAP working papers CWP18/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- 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.
- Todd, Prono, 2010. "Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model," MPRA Paper 20034, University Library of Munich, Germany.
- 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.
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