Asymptotics for parametric GARCH-in-mean models
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Publication:308384
DOI10.1016/j.jeconom.2016.05.010zbMath1443.62249OpenAlexW3123301889MaRDI QIDQ308384
Publication date: 6 September 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://archiv.ub.uni-heidelberg.de/volltextserver/18010/1/Conrad_Mammen_2015_dp579.pdf
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (3)
Bootstrap specification tests for dynamic conditional distribution models ⋮ Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model ⋮ The time-varying GARCH-in-mean model
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