Small Sample Estimation Bias in GARCH Models with Any Number of Exogenous Variables in the Mean Equation

DOI10.1080/07474930903562551zbMath1210.62120OpenAlexW2012548504MaRDI QIDQ3168912

Garry D. A. Phillips, Emma M. Iglesias

Publication date: 27 April 2011

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930903562551

zbMATH Keywords

GARCHbias correctionquasi maximum likelihood

Mathematics Subject Classification ID

Related Items (5)

Small Sample Estimation Bias in GARCH Models with Any Number of Exogenous Variables in the Mean Equation ⋮ Estimation, Testing, and Finite Sample Properties of Quasi-Maximum Likelihood Estimators in GARCH-M Models ⋮ Higher-order asymptotic properties of QML in \(\beta \)-ARCH and \(\mu \)-ARCH models ⋮ Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model ⋮ Finite Sample Theory of QMLE in ARCH Models with Dynamics in the Mean Equation

Cites Work

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• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
• Optimal instrumental variables estimation for ARMA models
• Unnamed Item

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