Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
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Publication:4340689
DOI10.2307/2171754zbMath0870.62091OpenAlexW2102450618MaRDI QIDQ4340689
Douglas G. Steigerwald, Whitney K. Newey
Publication date: 18 September 1997
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/94a875f0527a00b2e48c5bef5831d9ec7b9a0f4d
symmetryidentificationconsistencyconditional heteroskedasticityGARCH processconditional meanquasimaximum-likelihood estimatortime-varying conditional variance models
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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