Asymptotically efficient estimation of the change point for semiparametric GARCH models
| Year of publication: |
2006-01
|
|---|---|
| Authors: | Shiohama, Takayuki |
| Institutions: | Institute of Economic Research, Hitotsubashi University |
| Subject: | GARCH process | change point | maximum likelihood estimator | Bayesian estimator | asymptotic efficiency |
| Extent: | application/pdf |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Number a471 23 pages long |
| Source: |
Persistent link: https://www.econbiz.de/10005574117