Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model
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More about this item
KeywordsGARCH; Time Series Heteroskedasticity; GMM; CUE; Many Moments; Conditional Moment Restrictions; Consistency; Robust Statistics;
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-01-23 (All new papers)
- NEP-ECM-2010-01-23 (Econometrics)
- NEP-ETS-2010-01-23 (Econometric Time Series)
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