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Efficient estimation in semiparametric GARCH models
Drost, Feike C.; Klaassen, Chris A. J. - In: Journal of Econometrics 81 (1997) 1, pp. 193-221
Persistent link: https://www.econbiz.de/10005122698
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Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
Gonzalez-Rivera, Gloria; Drost, Feike C. - In: Journal of Econometrics 93 (1999) 1, pp. 93-111
Persistent link: https://www.econbiz.de/10005192726
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Closing the GARCH gap: Continuous time GARCH modeling
Drost, Feike C.; Werker, Bas J. M. - In: Journal of Econometrics 74 (1996) 1, pp. 31-57
Persistent link: https://www.econbiz.de/10005115487