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On the efficiency of a semi‐parametric GARCH model

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  • Jianing Di
  • Ashis Gangopadhyay

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  • Jianing Di & Ashis Gangopadhyay, 2011. "On the efficiency of a semi‐parametric GARCH model," Econometrics Journal, Royal Economic Society, vol. 14(2), pages 257-277, July.
    • Handle: RePEc:ect:emjrnl:v:14:y:2011:i:2:p:257-277
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    Cited by:

    1. Xibin Zhang & Maxwell L. King, 2013. "Gaussian kernel GARCH models," Monash Econometrics and Business Statistics Working Papers 19/13, Monash University, Department of Econometrics and Business Statistics.
    2. A. B. M. Rabiul Alam Beg & Sajid Anwar, 2014. "Detecting volatility persistence in GARCH models in the presence of the leverage effect," Quantitative Finance, Taylor & Francis Journals, vol. 14(12), pages 2205-2213, December.
    3. Francq, Christian & Lepage, Guillaume & Zakoïan, Jean-Michel, 2011. "Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE," Journal of Econometrics, Elsevier, vol. 165(2), pages 246-257.

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