Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
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Publication:4031295
DOI10.1080/07474939208800229zbMATH Open0850.62884OpenAlexW2054477007MaRDI QIDQ4031295FDOQ4031295
Tim Bollerslev, Jeffrey M. Wooldridge
Publication date: 1 April 1993
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474939208800229
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
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- A long-run pure variance common features model for the common volatilities of the Dow Jones
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- Dynamic efficiency in the east European emerging markets
- Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility
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