An asymptotic expansion in the GARCH(1,1) model
Linton, Oliver
(1997)
An asymptotic expansion in the GARCH(1,1) model.
Econometric Theory, 13 (4).
pp. 558-581.
ISSN 0266-4666
We develop order T−1 asymptotic expansions for the quasi-maximum likelihood estimator (QMLE) and a two-step approximate QMLE in the GARCH(l,l) model. We calculate the approximate mean and skewness and, hence, the Edgeworth-B distribution function. We suggest several methods of bias reduction based on these approximations.
| Item Type | Article |
|---|---|
| Departments | Economics |
| DOI | 10.1017/S0266466600006009 |
| Date Deposited | 27 Apr 2007 |
| URI | https://researchonline.lse.ac.uk/id/eprint/1277 |