An almost closed form estimator for the EGARCH model
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- Hafner, Christian M. & Linton, Oliver, 2017. "An Almost Closed Form Estimator For The Egarch Model," Econometric Theory, Cambridge University Press, vol. 33(04), pages 1013-1038, August.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Antonis Demos & Dimitra Kyriakopoulou, 2018. "Finite Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model," DEOS Working Papers 1802, Athens University of Economics and Business.
More about this item
Keywordsautocorrelations; generalized error distribution; method of moments estimator; Newton-Raphson;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-04 (All new papers)
- NEP-DCM-2013-06-04 (Discrete Choice Models)
- NEP-ECM-2013-06-04 (Econometrics)
- NEP-ETS-2013-06-04 (Econometric Time Series)
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