Minimum density power divergence estimator for GARCH models
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Volume (Year): 18 (2009)
Issue (Month): 2 (August)
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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.:
- Baillie, Richard T & Bollerslev, Tim, 2002.
"The Message in Daily Exchange Rates: A Conditional-Variance Tale,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 20(1), pages 60-68, January.
- Baillie, Richard T & Bollerslev, Tim, 1989. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 297-305, July.
- Tom Doan, "undated". "RATS program to replicate Baillie and Bollerslev GARCH models with day-of-week effects," Statistical Software Components RTZ00172, Boston College Department of Economics.
- Cao, Ricardo & Cuevas, Antonio & Fraiman, Ricardo, 1995. "Minimum distance density-based estimation," Computational Statistics & Data Analysis, Elsevier, vol. 20(6), pages 611-631, December.
- Storti, G., 2006. "Minimum distance estimation of GARCH(1,1) models," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 1803-1821, December. Full references (including those not matched with items on IDEAS)
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