Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE
Todd Prono
| Year of publication: |
Dez 2018
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|---|---|
| Authors: | Prono, Todd |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 22.2018, 5, p. 1-25
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| Subject: | ARCH | closed form estimation | heavy tails | threshold ARCH | instrumental variables | regular variation | two stage least squares | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | IV-Schätzung | Instrumental variables |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2017-0070 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011965371