Semiparametric inference in a GARCH-in-mean model
From MaRDI portal
Publication:738173
DOI10.1016/j.jeconom.2011.09.028zbMath1441.62649MaRDI QIDQ738173
Emma M. Iglesias, Bent Jesper Christensen, Christian M. Dahl
Publication date: 15 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.09.028
62F12: Asymptotic properties of parametric estimators
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)