Estimation, Testing, and Finite Sample Properties of Quasi-Maximum Likelihood Estimators in GARCH-M Models
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Publication:5080157
DOI10.1080/07474938.2011.608007zbMath1491.62102OpenAlexW2071899769MaRDI QIDQ5080157
Garry D. A. Phillips, Emma M. Iglesias
Publication date: 31 May 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2011.608007
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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