Higher-order asymptotic properties of QML in [beta]-ARCH and [mu]-ARCH models
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 93 (2006)
Issue (Month): 2 (November)
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Web page: http://www.elsevier.com/locate/ecolet
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Furno, Marilena, 2000. "Lm Tests In The Presence Of Non-Normal Error Distributions," Econometric Theory, Cambridge University Press, vol. 16(02), pages 249-261, April.
- Kristensen, Dennis & Rahbek, Anders, 2005. "ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS," Econometric Theory, Cambridge University Press, vol. 21(05), pages 946-961, October.
- Dufour, J.M. & Khalaf, L. & Bernard, J.T. & Genest, I., 2001.
"Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects,"
Cahiers de recherche
2001-08, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Dufour, Jean-Marie & Khalaf, Lynda & Bernard, Jean-Thomas & Genest, Ian, 2004. "Simulation-based finite-sample tests for heteroskedasticity and ARCH effects," Journal of Econometrics, Elsevier, vol. 122(2), pages 317-347, October.
- DUFOUR, Jean-Marie & KHALAF, Lynda & BERNARD, Jean-Thomas, 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," Cahiers de recherche 2001-08, Universite de Montreal, Departement de sciences economiques.
- Jean-Thomas Bernard & Jean-Marie Dufour & Ian Genest & Lynda Khalaf, 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," CIRANO Working Papers 2001s-25, CIRANO.
- Emma Iglesias & Garry Phillips, 2011. "Small Sample Estimation Bias in GARCH Models with Any Number of Exogenous Variables in the Mean Equation," Econometric Reviews, Taylor and Francis Journals, vol. 30(3), pages 303-336.
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