A Tour in the Asymptotic Theory of GARCH Estimation
The main estimation methods of the univariate GARCH models are reviewed. A special attention is givento the asymptotic results and the quasi-maximum likelihood method.Keywords : Asymptotic properties of estimators, Efficient estimation, GARCH model, Quasi MaximumLikelihood Estimation, Weighted Least-Squares.
|Date of creation:||2008|
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