Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
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Publication:1808557
DOI10.1016/S0304-4076(99)00005-6zbMath0941.62101MaRDI QIDQ1808557
Gloria González-Rivera, Feike C. Drost
Publication date: 13 August 2000
Published in: Journal of Econometrics (Search for Journal in Brave)
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)
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