An asymptotic expansion in the GARCH(1,1) model
Linton, O.
(1997).
An asymptotic expansion in the GARCH(1,1) model.
Econometric Theory,
13(4), 558-581.
https://doi.org/10.1017/S0266466600006009
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 |
|---|---|
| Copyright holders | © 1997 Cambridge University Press |
| Departments | LSE > Academic Departments > Economics |
| DOI | 10.1017/S0266466600006009 |
| Date Deposited | 27 Apr 2007 |
| URI | https://researchonline.lse.ac.uk/id/eprint/1277 |
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