Asymptotics of the QMLE for Non-Linear ARCH Models

Dennis Kristensen (Columbia University)
Anders Rahbek (University of Copenhagen)
Journal of Time Series Econometrics.

Volume (Year): 1 (2009)
Issue (Month): 1 ()
File URL: http://www.bepress.com/cgi/viewcontent.cgi?article=1001&;context=jtse


A Closed-Form Estimator For The Garch(1,1) ModelKristensen, Dennis
Linton, Oliver
http://journals.cambridge.org/abstract_S0266466606060142