Simultaneous Equations and Weak Instruments under Conditionally Heteroscedastic Disturbances
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- Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
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- Todd, Prono, 2009.
"Market Proxies, Correlation, and Relative Mean-Variance Efficiency: Still Living with the Roll Critique,"
20031, University Library of Munich, Germany.
- Todd Prono, 2009. "Market proxies, correlation, and relative mean-variance efficiency: still living with the roll critique," Risk and Policy Analysis Unit Working Paper QAU09-3, Federal Reserve Bank of Boston.
- Todd Prono, 2008.
"GARCH-based identification and estimation of triangular systems,"
Risk and Policy Analysis Unit Working Paper
QAU08-4, Federal Reserve Bank of Boston.
- Todd, Prono, 2009. "GARCH-Based Identification and Estimation of Triangular Systems," MPRA Paper 20032, University Library of Munich, Germany.
More about this item
KeywordsSimultaneous Equations; conditionally heteroscedastic disturbances;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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