Asymptotically efficient estimation of the change point for semiparametric GARCH models
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Bibliographic InfoPaper provided by Institute of Economic Research, Hitotsubashi University in its series Discussion Paper Series with number a471.
Length: 23 p.
Date of creation: Jan 2006
Date of revision:
GARCH process; change point; maximum likelihood estimator; Bayesian estimator; asymptotic efficiency;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-01-24 (All new papers)
- NEP-ECM-2006-01-24 (Econometrics)
- NEP-ETS-2006-01-24 (Econometric Time Series)
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