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Small sample estimation bias in GARCH models with any number of exogenous variables in the mean equation
Iglesias, Emma M.; Phillips, Garry D. A. - In: Econometric reviews 30 (2011) 3, pp. 303-336
Persistent link: https://www.econbiz.de/10008990434
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Estimation, testing, and finite sample properties of quasi-maximum likelihood estimators in GARCH-M models
Iglesias, Emma M.; Phillips, Garry D. A. - In: Econometric reviews 31 (2012) 4/6, pp. 532-557
Persistent link: https://www.econbiz.de/10009539710
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Small Sample Estimation Bias in GARCH Models with Any Number of Exogenous Variables in the Mean Equation
Iglesias, Emma; Phillips, Garry - In: Econometric reviews 30 (2011) 3, pp. 303-337
Persistent link: https://www.econbiz.de/10008844947
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Estimation, Testing, and Finite Sample Properties of Quasi-Maximum Likelihood Estimators in GARCH-M Models
Iglesias, Emma M.; Phillips, Garry D. A. - In: Econometric reviews 31 (2012) 5, pp. 532-558
Persistent link: https://www.econbiz.de/10009842058