Asymptotics for parametric GARCH-in-mean models
DOI10.1016/J.JECONOM.2016.05.010zbMATH Open1443.62249OpenAlexW3123301889MaRDI QIDQ308384FDOQ308384
Authors: Christian Conrad, Enno Mammen 
Publication date: 6 September 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://archiv.ub.uni-heidelberg.de/volltextserver/18010/1/Conrad_Mammen_2015_dp579.pdf
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Cites Work
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Cited In (13)
- Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model
- ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
- FIRST-ORDER ASYMPTOTIC THEORY FOR PARAMETRIC MISSPECIFICATION TESTS OF GARCH MODELS
- ARCH/GARCH with persistent covariate: asymptotic theory of MLE
- Asymptotic properties of the QMLE in a log-linear RealGARCH model with Gaussian errors
- Exponential-Type GARCH Models With Linear-in-Variance Risk Premium
- Bootstrap specification tests for dynamic conditional distribution models
- The asymptotic convexity of the negative likelihood function of GARCH models
- The time-varying GARCH-in-mean model
- Asymptotic theory for QMLE for the real-time GARCH\((1,1)\) model
- QML inference for volatility models with covariates
- On convergence of the QMLE for misspecified GARCH models
- An alternative GARCH-in-mean model: structure and estimation
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