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Bootstrapping a linear estimator of the ARCH parameters

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Arup Bose ()
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File URL: http://www.artsci.uc.edu/collegedepts/economics/research/docs/Wppdf/2006-01.pdf
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Paper provided by University of Cincinnati, Department of Economics in its series University of Cincinnati, Economics Working Papers Series with number 2006-03.

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Length: 19 pages
Date of creation: 2006
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Handle: RePEc:cin:ucecwp:2006-03

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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.:
  1. Bougerol, Philippe & Picard, Nico, 1992. "Stationarity of Garch processes and of some nonnegative time series," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 115-127. [Downloadable!] (restricted)
  2. Arup Bose & Kanchan Mukherjee, 2003. "Estimating The Arch Parameters By Solving Linear Equations," Journal of Time Series Analysis, Blackwell Publishing, vol. 24(2), pages 127-136, 03. [Downloadable!] (restricted)
  3. Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus, 2000. "Stationary Arch Models: Dependence Structure And Central Limit Theorem," Econometric Theory, Cambridge University Press, vol. 16(01), pages 3-22, February. [Downloadable!]
  4. Shiqing Ling, 2005. "Self-weighted least absolute deviation estimation for infinite variance autoregressive models," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 67(3), pages 381-393. [Downloadable!] (restricted)
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