Estimating VAR-MGARCH models in multiple steps
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Publication:905385
DOI10.1515/snde-2012-0065zbMath1329.62372OpenAlexW1965341735MaRDI QIDQ905385
M. Hakan Eratalay, M. Angeles Carnero
Publication date: 19 January 2016
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10045/47217
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10)
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- Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
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