Reconsidering the gains in efficiency from ML estimation versus OLS in ARCH models

DOI10.1016/S0165-1765(01)00531-6zbMath0990.62027OpenAlexW2014246514MaRDI QIDQ5958363

Garry D. A. Phillips, Emma M. Iglesias

Publication date: 3 March 2002

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(01)00531-6

zbMATH Keywords

ARCH modelsmaximum likelihoodordinary least squaresrelative efficiency

Mathematics Subject Classification ID

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

Cites Work

• ARCH models and financial applications
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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