Minimum distance estimation of GARCH(1,1) models
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Bibliographic InfoArticle provided by Elsevier in its journal Computational Statistics & Data Analysis.
Volume (Year): 51 (2006)
Issue (Month): 3 (December)
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Web page: http://www.elsevier.com/locate/csda
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- Amendola, Alessandra & Storti, Giuseppe, 2008. "A GMM procedure for combining volatility forecasts," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3047-3060, February.
- HAFNER, Christian M. & PREMINGER, Arie, 2006.
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- Oana GHERGHINESCU & Paul RINDERU, 2011. "Econometric Models for Analysing the Structural Funds Absorption at Regional Level - Case Study SW Region," Timisoara Journal of Economics, West University of Timisoara, Romania, Faculty of Economics and Business Administration, vol. 4(3(15)), pages 161-174.
- Sangyeol Lee & Junmo Song, 2009. "Minimum density power divergence estimator for GARCH models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 18(2), pages 316-341, August.
- PREMINGER, Arie & HAFNER, Christian M., 2006. "Deciding between GARCH and stochastic volatility via strong decision rules," CORE Discussion Papers 2006042, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Takada, Teruko, 2009. "Simulated minimum Hellinger distance estimation of stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2390-2403, April.
- PREMINGER, Arie & STORTI, Giuseppe, 2006. "A GARCH (1,1) estimator with (almost) no moment conditions on the error term," CORE Discussion Papers 2006068, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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