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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

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Abstract

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
Official URL: http://journals.cambridge.org/action/displayJourna...
Additional Information: © 1997 Cambridge University Press
Library of Congress subject classification: H Social Sciences > HB Economic Theory
Journal of Economic Literature Classification System: C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics
Sets: Departments > Economics
Collections > Economists Online
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 27 Apr 2007
URL: http://eprints.lse.ac.uk/1277/

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