Small Sample Estimation Bias in GARCH Models with Any Number of Exogenous Variables in the Mean Equation
Author:
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
http://www.tandfonline.com/doi/pdf/10.1080/07474930903562551
Reference37 articles.
1. Is More Information a Good Thing? Bias Nonmonotonicity in Stochastic Difference Equations
2. GARCH processes: structure and estimation
3. Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
4. Stationarity of Garch processes and of some nonnegative time series
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