Generalized instrumental variables estimation of autoregressive conditional heteroskedastic models
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 35 (1991)
Issue (Month): 2 (February)
Contact details of provider:
Web page: http://www.elsevier.com/locate/ecolet
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Todd, Prono, 2009. "Market Proxies, Correlation, and Relative Mean-Variance Efficiency: Still Living with the Roll Critique," MPRA Paper 20031, University Library of Munich, Germany.
- De Arce Borda, R., 2004. "20 años de modelos ARCH: una visión de conjunto de las distintas variantes de la familia/20 Years of Arch Modelling: a Survey of Different Models in the Family," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 22, pages 27, Abril.
- Chihwa Kao, 2001. "Geography, Industrial Organization, and Agglomeration Heteroskedasticity Models with Estimates of the Variances of Foreign Exchange Rates," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University 34, Center for Policy Research, Maxwell School, Syracuse University.
- Grammig, Joachim & Wellner, Marc, 2002. "Modeling the interdependence of volatility and inter-transaction duration processes," Journal of Econometrics, Elsevier, Elsevier, vol. 106(2), pages 369-400, February.
- Mailand, Wilhelm, 1998. "Zum Einfluß von Unsicherheit auf die gesamtwirtschaftliche Investitionstätigkeit," HWWA Discussion Papers 57, Hamburg Institute of International Economics (HWWA).
- 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.
- Dinghai Xu, 2012. "Continuous Empirical Characteristic Function Estimation of GARCH Models," Working Papers 1204, University of Waterloo, Department of Economics, revised May 2012.
- Rich, R W & Raymond, J E & Butler, J S, 1992. "The Relationship between Forecast Dispersion and Forecast Uncertainty: Evidence from a Survey Data-ARCH Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 7(2), pages 131-48, April-Jun.
- Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, Elsevier, vol. 3(1), pages 15-102, May.
- Todd, Prono, 2010. "Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model," MPRA Paper 20034, University Library of Munich, Germany.
- Beum-Jo Park, 2009. "Risk-return relationship in equity markets: using a robust GMM estimator for GARCH-M models," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 9(1), pages 93-104.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.