Efficient two-step estimation via targeting

DOI10.1016/J.JECONOM.2017.08.004zbMath1377.62179OpenAlexW2406037796MaRDI QIDQ1676369

David T. Frazier, Eric Renault

Publication date: 7 November 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://cirano.qc.ca/files/publications/2016s-16.pdf

zbMATH Keywords

penalizationasset pricingtargetingmultivariate time series models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Multivariate leverage effects and realized semicovariance GARCH models ⋮ Editors' introduction ⋮ Efficient closed-form estimation of large spatial autoregressions

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