Higher-order asymptotic properties of QML in \(\beta \)-ARCH and \(\mu \)-ARCH models
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Publication:1929469
DOI10.1016/j.econlet.2006.05.011zbMath1254.91667MaRDI QIDQ1929469
Publication date: 8 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2006.05.011
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B84: Economic time series analysis
Cites Work
- Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
- On the estimation of \(\beta\)-ARCH models
- Small Sample Estimation Bias in GARCH Models with Any Number of Exogenous Variables in the Mean Equation
- ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
- Modelling the persistence of conditional variances
- LM TESTS IN THE PRESENCE OF NON-NORMAL ERROR DISTRIBUTIONS
- A test for the presence of conditional heteroskedasticity within arch-m framework
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