Higher-order asymptotic properties of QML in [beta]-ARCH and [mu]-ARCH models
No abstract is available for this item.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
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.:
- Jean-Thomas Bernard & Jean-Marie Dufour & Ian Genest & Lynda Khalaf, 2001.
"Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects,"
CIRANO Working Papers
- Dufour, Jean-Marie & Khalaf, Lynda & Bernard, Jean-Thomas & Genest, Ian, 2004. "Simulation-based finite-sample tests for heteroskedasticity and ARCH effects," Journal of Econometrics, Elsevier, vol. 122(2), pages 317-347, October.
- DUFOUR, Jean-Marie & KHALAF, Lynda & BERNARD, Jean-Thomas, 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," Cahiers de recherche 2001-08, Universite de Montreal, Departement de sciences economiques.
- Dufour, J.M. & Khalaf, L. & Bernard, J.T. & Genest, I., 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," Cahiers de recherche 2001-08, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Beg, A B M Rabiul A & Silvapulle, Mervyn J & Silvapulle, Paramsothy, 2001. "Tests Against Inequality Constraints When Some Nuisance Parameters Are Present Only under the Alternative: Test of ARCH in ARCH-M Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 245-53, April.
- Emma Iglesias & Garry Phillips, 2011. "Small Sample Estimation Bias in GARCH Models with Any Number of Exogenous Variables in the Mean Equation," Econometric Reviews, Taylor & Francis Journals, vol. 30(3), pages 303-336.
- Furno, Marilena, 2000. "Lm Tests In The Presence Of Non-Normal Error Distributions," Econometric Theory, Cambridge University Press, vol. 16(02), pages 249-261, April.
- Kristensen, Dennis & Rahbek, Anders, 2005. "ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS," Econometric Theory, Cambridge University Press, vol. 21(05), pages 946-961, October.
When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:93:y:2006:i:2:p:261-266. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.