On the efficiency of a semi‐parametric GARCH model

DOI10.1111/j.1368-423X.2010.00337.xzbMath1217.91206MaRDI QIDQ3018505

Jianing Di, Ashis K. Gangopadhyay

Publication date: 27 July 2011

Published in: The Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

efficiencyGARCHkerneladaptive estimationsemi-parametric

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

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