Finite sample performance of the MLE in GARCH(1,1) : when the parameter on the lagged squared residual is close to zero
Suduk Kim
| Year of publication: |
1998
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|---|---|
| Authors: | Kim, Suduk |
| Published in: |
Journal of economic theory and econometrics : journal of The Korean Econometric Society. - Seoul, ISSN 1229-2893, ZDB-ID 2024324-8. - Vol. 4.1998, 2, p. 131-151
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| Subject: | Stichprobenerhebung | Sampling | ARCH-Modell | ARCH model | Theorie | Theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | In: Journal of economic theory and econometrics |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001562242