A Tour in the Asymptotic Theory of GARCH Estimation
AbstractThe main estimation methods of the univariate GARCH models are reviewed. A special attention is givento the asymptotic results and the quasi-maximum likelihood method.Keywords : Asymptotic properties of estimators, Efficient estimation, GARCH model, Quasi MaximumLikelihood Estimation, Weighted Least-Squares.
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Bibliographic InfoPaper provided by Centre de Recherche en Economie et Statistique in its series Working Papers with number 2008-03.
Date of creation: 2008
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