Inference on Multiplicative Component GARCH without any Small-Order Moment
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More about this item
Keywords
GARCH-MIDAS; Moments existence; QMLE; Residual Bootstrap; Tests on boundary parameters.;All these keywords.
JEL classification:
- 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
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2022-04-25 (Econometrics)
- NEP-ETS-2022-04-25 (Econometric Time Series)
- NEP-ORE-2022-04-25 (Operations Research)
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