AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL

DOI10.1017/S0266466616000256zbMath1442.62199MaRDI QIDQ5357395

Oliver B. Linton, Christian M. Hafner

Publication date: 15 September 2017

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (5)

Robust closed-form estimators for the integer-valued GARCH(1,1) model ⋮ Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE ⋮ Outliers and misleading leverage effect in asymmetric GARCH-type models ⋮ Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model ⋮ Simple estimators and inference for higher-order stochastic volatility models

Uses Software

• normalp

Cites Work

• Unnamed Item
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• The Stochastic Difference Between Econometric Statistics
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• Hybrid and Size-Corrected Subsampling Methods
• Moment–Based Estimation of Stochastic Volatility Models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A Conditional Kolmogorov Test
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• Specification tests for nonlinear dynamic models
• A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL

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