Demos, Antonis; Kyriakopoulou, Dimitra - Department of International and European Economic … - 2010
n this paper we derive the bias approximations of the Maximum Likelihood (ML) and Quasi-Maximum Likelihood (QML) Estimators of the EGARCH(1,1) parameters and we check our theoretical results through simulations. With the approximate bias expressions up to O(1/T), we are then able to correct the...