Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE
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More about this item
KeywordsAsymmetric distribution; Cointegration; LABF models; multivariate GARCH; price discovery; WLS;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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