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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Identification Number: 10.1017/S0266466600006009
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 |
| Divisions: | Economics |
| Subjects: | H Social Sciences > HB Economic Theory |
| JEL classification: | C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics |
| Date Deposited: | 27 Apr 2007 |
| Last Modified: | 03 Jan 2024 01:24 |
| URI: | http://eprints.lse.ac.uk/id/eprint/1277 |
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