Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 93 (1999)
Issue (Month): 1 (November)
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Web page: http://www.elsevier.com/locate/jeconom
Other versions of this item:
- González-Rivera, G. & Drost, F.C., 1998. "Efficiency Comparisons of Maximum Likelihood-Based Estimators in GARCH Models," Discussion Paper 1998-124, Tilburg University, Center for Economic Research.
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.:
- Drost, F.C. & Klaassen, C.A.J., 1997.
"Efficient estimation in semiparametric GARCH models,"
Open Access publications from Tilburg University
urn:nbn:nl:ui:12-74146, Tilburg University.
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