Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model
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Publication:1726177
DOI10.1515/jtse-2018-0010OpenAlexW2792012693MaRDI QIDQ1726177
Antonis Demos, Dimitra Kyriakopoulou
Publication date: 19 February 2019
Published in: Journal of Time Series Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/jtse-2018-0010
bootstrapmaximum likelihood estimationEdgeworth expansionbias correctionexponential GARCHfinite-sample propertiesbias approximations
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