Efficiency comparisons of maximum-likelihood-based estimators in GARCH models.

In this paper, we investigate the loss of asymptotic efficiency of semiparametric and quasi-maximum-likelihood estimators relative to maximum-likelihood estimators in models with generalized autoregressive conditional heteroscedasticity (GARCH). For a general time-varying location-scale model, the...

Descripción completa

Detalles Bibliográficos

Publicado en:	Journal of Econometrics Vol. 93; no. 1; pp. 93 - 112
Autores principales:	González-Rivera, Gloria, Drost, Feike C.
Formato:	Artículo
Publicado:	Elsevier Science November 1999
Materias:	Maximum likelihood statistics ARCH model (Econometrics) Parameter estimation
Acceso en línea:	Ver este registro en EBSCOhost