ARCH/GARCH with persistent covariate: Asymptotic theory of MLE

ARCH/GARCH with persistent covariate: Asymptotic theory of MLE

10.1016/j.jeconom.2011.10.004

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Bibliographic Details
Main Authors: Han, H., Park, J.Y.
Other Authors: ECONOMICS
Format: Article
Published: 2014
Subjects:
ARCH
Asymptotic distribution theory
GARCH
Maximum likelihood estimator
Persistent covariate
Online Access:http://scholarbank.nus.edu.sg/handle/10635/52120
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Institution: National University of Singapore

Internet

http://scholarbank.nus.edu.sg/handle/10635/52120

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