Efficient estimation in semiparametric GARCH models
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Publication:1372928
DOI10.1016/S0304-4076(97)00042-0zbMath0944.62120MaRDI QIDQ1372928
Feike C. Drost, Chris A. J. Klaassen
Publication date: 26 September 2000
Published in: Journal of Econometrics (Search for Journal in Brave)
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
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