A Note on Adaptation in Garch Models
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Other versions of this item:
- Gloria Gonzalez-Rivera, 1997. "A note on adaptation in garch models," Econometric Reviews, Taylor & Francis Journals, vol. 16(1), pages 55-68.
Citations
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Cited by:
- Gabriele Fiorentini & Enrique Sentana, 2007.
"On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models,"
Working Papers
wp2007_0713, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2007. "On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models," Working Paper series 38_07, Rimini Centre for Economic Analysis.
- Jushan Bai & Serena Ng, 1998. "A Test for Conditional Symmetry in Time Series Models," Boston College Working Papers in Economics 410, Boston College Department of Economics.
- HAFNER, Christian & ROMBOUTS, Jeroen, 2003. "Semiparametric multivariate GARCH models," LIDAM Discussion Papers CORE 2003003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- repec:rim:rimwps:38-07 is not listed on IDEAS
- Hafner, Christian M. & Rombouts, Jeroen V.K., 2007.
"Semiparametric Multivariate Volatility Models,"
Econometric Theory, Cambridge University Press, vol. 23(2), pages 251-280, April.
- Hafner, C.M. & Rombouts, J.V.K., 2004. "Semiparametric multivariate volatility models," Econometric Institute Research Papers EI 2004-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Rombouts, Jeroen V. K. & Hafner, Christian M., 2004. "Semiparametric multivariate volatility models," Papers 2004,14, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
More about this item
Keywords
REGRESSION ANALYSIS; MAXIMUM LIKELIHOOD;JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
Statistics
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