Efficient estimation in semiparametric GARCH models
نویسندگان
چکیده
منابع مشابه
Semiparametric Multivariate Garch Models
Estimation of multivariate GARCH models is usually carried out by quasi maximum likelihood (QMLE), for which recently consistency and asymptotic normality have been proven under quite general conditions. However, there are to date no results on the efficiency loss of QMLE if the true innovation distribution is not multinormal. We investigate this issue by suggesting a nonparametric estimation o...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 1997
ISSN: 0304-4076
DOI: 10.1016/s0304-4076(97)00042-0