An almost closed form estimator for the EGARCH model
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Note: In : Econometric Theory, 33, 1013-1038, 2017
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Other versions of this item:
- Hafner, Christian M. & Linton, Oliver, 2017. "An Almost Closed Form Estimator For The Egarch Model," Econometric Theory, Cambridge University Press, vol. 33(4), pages 1013-1038, August.
- Hafner, C. & Linton, O., 2016. "An Almost Closed Form Estimator for the EGARCH model," LIDAM Discussion Papers ISBA 2016036, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hafner, Christian & Linton, Oliver, 2017. "An Almost Closed Form Estimator For The EGARCH Model," LIDAM Reprints ISBA 2017040, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- HAFNER, Christian & LINTON, Oliver, 2013. "An almost closed form estimator for the EGARCH model," LIDAM Discussion Papers CORE 2013022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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Citations
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Cited by:
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"Finite-Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model,"
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- DEMOS Antonis, & KYRIAKOPOULOU Dimitra,, 2018. "Finite sample theory and bias correction of maximum likelihood estimators in the EGARCH model," LIDAM Discussion Papers CORE 2018007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Antonis Demos & Dimitra Kyriakopoulou, 2018. "Finite Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model," DEOS Working Papers 1802, Athens University of Economics and Business.
- Antonis Demos & Dimitra Kyriakopoulou, 2018. "Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model," LIDAM Reprints CORE 2983, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Prono Todd, 2018. "Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-25, December.
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- Bocart, Fabian Y.R.P. & Hafner, Christian, 2015. "Fair Revaluation of Wine as an Investment," LIDAM Reprints ISBA 2015040, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Bocart, Fabian Y. R. P. & Hafner, Christian M., 2013. "Fair re-valuation of wine as an investment," SFB 649 Discussion Papers 2013-018, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- BOCART, Fabian & HAFNER, Christian, 2013. "Fair re-valuation of wine as an investment," LIDAM Discussion Papers CORE 2013025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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- M. Angeles Carnero Fernández & Ana Pérez Espartero, 2018. "Outliers and misleading leverage effect in asymmetric GARCH-type models," Working Papers. Serie AD 2018-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- CORNUEJOLS, Gérard & WOLSEY, Laurence & YILDIZ, Sercan, 2013. "Sufficiency of cut-generating functions," LIDAM Discussion Papers CORE 2013027, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Ahsan, Md. Nazmul & Dufour, Jean-Marie, 2021. "Simple estimators and inference for higher-order stochastic volatility models," Journal of Econometrics, Elsevier, vol. 224(1), pages 181-197.
- Christian M. Hafner & Dimitra Kyriakopoulou, 2021.
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- HAFNER Christian, & KYRIAKOPOULOU Dimitra,, 2019. "Exponential-type GARCH models with linear-in-variance risk premium," LIDAM Discussion Papers CORE 2019013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hafner, Christian & Kyriakopoulou, Dimitra, 2020. "Exponential-Type GARCH Models With Linear-in-Variance Risk Premium," LIDAM Reprints ISBA 2020029, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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Journal of Public Economic Theory, Association for Public Economic Theory, vol. 18(1), pages 42-66, February.
- CANTA, Chiara & LEROUX, Marie-Louise, 2013. "Public and private hospitals, congestion, and redistribution," LIDAM Discussion Papers CORE 2013041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- CANTA, Chiara & LEROUX, Marie-Louise, 2016. "Public and Private Hospitals, Congestion, and Redistribution," LIDAM Reprints CORE 2726, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- MLINAR, Tanja B. & CHEVALIER, Philippe, 2013. "Pooling in manufacturing: do opposites attract?," LIDAM Discussion Papers CORE 2013040, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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