Semiparametric inference in a GARCH-in-mean model (Q738173): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
(2 intermediate revisions by 2 users not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.jeconom.2011.09.028 / rank
Normal rank
 
Property / OpenAlex ID
 
Property / OpenAlex ID: W2144401408 / rank
Normal rank
 
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.jeconom.2011.09.028 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2144401408 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The efficiency of the estimators of the parameters in GARCH processes. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized autoregressive conditional heteroscedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric statistics for stochastic processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingale Central Limit Theorems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Joint and marginal specification tests for conditional mean and variance models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time series properties of ARCH processes with persistent covariates / rank
 
Normal rank
Property / cites work
 
Property / cites work: Finite Sample Theory of QMLEs in ARCH Models with an Exogenous Variable in the Conditional Variance Equation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case / rank
 
Normal rank
Property / cites work
 
Property / cites work: ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH / rank
 
Normal rank
Property / cites work
 
Property / cites work: ``Student'' and small-sample theory. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation and Testing Stationarity for Double-Autoregressive Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: An Intertemporal Capital Asset Pricing Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conditional Heteroskedasticity in Asset Returns: A New Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Profile likelihood and conditionally parametric models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Profile quasi-maximum likelihood estimation of partially linear spatial autoregressive models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Semiparametric efficient adaptive estimation of asymmetric GARCH models / rank
 
Normal rank

Latest revision as of 11:12, 12 July 2024

scientific article
Language Label Description Also known as
English
Semiparametric inference in a GARCH-in-mean model
scientific article

    Statements

    Semiparametric inference in a GARCH-in-mean model (English)
    0 references
    0 references
    0 references
    15 August 2016
    0 references
    0 references
    0 references
    0 references
    0 references
    efficiency bound
    0 references
    GARCH-M model
    0 references
    profile likelihood
    0 references
    risk-return relation
    0 references
    semiparametric inference
    0 references
    0 references