AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL
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Publication:5357395
DOI10.1017/S0266466616000256zbMath1442.62199MaRDI QIDQ5357395
Oliver B. Linton, Christian M. Hafner
Publication date: 15 September 2017
Published in: Econometric Theory (Search for Journal in Brave)
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items
Robust closed-form estimators for the integer-valued GARCH(1,1) model ⋮ Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE ⋮ Outliers and misleading leverage effect in asymmetric GARCH-type models ⋮ Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model ⋮ Simple estimators and inference for higher-order stochastic volatility models
Uses Software
Cites Work
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