ARCH/GARCH with persistent covariate: Asymptotic theory of MLE
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Rasmus Søndergaard Pedersen & Anders Rahbek, 2017. "Testing Garch-X Type Models," Discussion Papers 17-15, University of Copenhagen. Department of Economics.
- Heejoon Han & Dennis Kristensen, 2014.
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- Heejoon Han & Dennis Kristensen, 2013. "Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates," CeMMAP working papers CWP18/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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More about this item
KeywordsARCH; GARCH; Persistent covariate; Maximum likelihood estimator; Asymptotic distribution theory;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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