Finite sample properties of maximum likelihood and quasi-maximum likelihood estimators of egarch models

DOI10.1080/07474939608800338zbMATH Open0850.62882OpenAlexW1977395680MaRDI QIDQ4883725FDOQ4883725

Authors: Partha Deb 

Publication date: 20 November 1996

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

Full work available at URL: https://doi.org/10.1080/07474939608800338

Mathematics Subject Classification ID

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

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• A Test for Normality of Observations and Regression Residuals
• On the behavior of inconsistent instrumental variable estimators
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Title not available (Why is that?)
• Are the GARCH models best in out-of-sample performance!
• A reply to Professors Maasoumi and Phillips

Cited In (3)

• Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model
• Finite sample properties of the ARCH class of models with stochastic volatility
• Assessing the bias of maximum likelihood estimates of contaminated garch models

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