In this article we show how bias approximations for the quasi maximum likelihood estimators of the parameters in Generalized Autoregressive Conditional Heteroskedastic (GARCH)(p, q) models change when any number of exogenous variables are included in the mean equation. The approximate biases are...

In this paper we extend the setting analysed in Hahn and Hausman (2002a) by allowing for conditionally heteroscedastic disturbances. We start by considering the type of conditional variance-covariance matrices proposed by Engle and Kroner (1995) and we show that, when we impose a GARCH...

In this paper we extend the setting analysed in Hahn and Hausman (2002a) by allowing for conditionally heteroscedastic disturbances. We start by considering the type of conditional variance-covariance matrices proposed by Engle and Kroner (1995) and we show that, when we impose a GARCH...

This article considers the modelling of short-term interest rates with the ARFIMA model in six European countries based on daily data in the 1990s using the Modified Profile Likelihood estimation method. This allows one to study the different convergence processes that have been followed in each...