Spurious inference in the GARCH (1,1) model : when it is weakly identified
Jun Ma; Charles R. Nelson; Richard Startz
| Year of publication: |
2007
|
|---|---|
| Authors: | Ma, Jun ; Nelson, Charles R. ; Startz, Richard |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 11.2007, 1, p. 1-27
|
| Subject: | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Other identifiers: | 10.2202/1558-3708.1434 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009512627