HAFNER, Christian; ROMBOUTS, Jeroen - Center for Operations Research and Econometrics (CORE), … - 2003
applied to temporally aggregated GARCH models. Since these are known to be only weak GARCH, the conditional variance of the … might be taken as an approximation with only a small bias. Based on results for univariate GARCH models, NLS is likely to be … consistent, although inefficient, for weak GARCH models. However, our simulation study reveals that NLS does not reduce the bias …