A semi-parametric GARCH (1, 1) estimator under serially dependent innovations
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More about this item
Keywords
GARCH(1; 1); semi parametric ; Quasi Maximum Likelihood Estimation; Martingale;All these keywords.
JEL classification:
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2018-06-11 (Econometrics)
- NEP-ETS-2018-06-11 (Econometric Time Series)
- NEP-ORE-2018-06-11 (Operations Research)
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