Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates
Year of publication: |
2012-05-18
|
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Authors: | Han, Heejoon ; Kristensen, Dennis |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | GARCH | Persistent covariate | Fractional integration | Quasi-maximum likelihood estimator | Asymptotic distribution theory |
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