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A simple efficient GMM estimator of GARCH models

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  • Skoglund, Jimmy

    ()
    (Dept. of Economic Statistics, Stockholm School of Economics)

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    Abstract

    This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In addition efficiency results are obtained in the general framework of the GARCH(1,1)-M regression model.

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    File URL: http://swopec.hhs.se/hastef/papers/hastef0434.pdf
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    Bibliographic Info

    Paper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 0434.

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    Length: 31 pages
    Date of creation: 13 Feb 2001
    Date of revision:
    Handle: RePEc:hhs:hastef:0434

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    Related research

    Keywords: GARCH; GARCH-M; efficient GMM;

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    Cited by:
    1. Todd, Prono, 2010. "Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model," MPRA Paper 20034, University Library of Munich, Germany.
    2. 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.

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