We compare the asymptotic covariance matrix of the ML estimator in a nonlinear measurement error model to the asymptotic covariance matrices of the CS and SQS estimators studied in Kukush et al (2002). For small measurement error variances they are equal up to the order of the measurement error...

In this article, we have tested the volatility of the returns of the spot exchange rate of AUD/USD for changing conditional variances by using a log likelihood model. Generalized autoregressive conditional heteroskedastic models, (GARCH) with t-distributed errors, and exponential generalized...