ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL

DOI10.1017/S0266466608090117zbMath1279.62183MaRDI QIDQ3632428

Christian M. Hafner, Arie Preminger

Publication date: 11 June 2009

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

Mathematics Subject Classification ID

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

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Cites Work

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