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Volumn 16, Issue 5, 2000, Pages 692-728

Estimating weak garch representations

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EID: 0034359589     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0266466600165041     Document Type: Article
Times cited : (24)

References (23)
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  • 4
    • 0001758906 scopus 로고
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    • Andrews, D.W.K. (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59, 817-858.
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  • 5
    • 0040485278 scopus 로고    scopus 로고
    • Fractionally integrated generalized autoregressive conditional heteroskedasticity
    • Baillie, R.T., T.P. Bollerslev, & H.O. Mikkelsen (1996) Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 74, 3-30.
    • (1996) Journal of Econometrics , vol.74 , pp. 3-30
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  • 6
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heteroskedasticity
    • Bollerslev, T.P. (1986) Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31, 309-328.
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    • Bollerslev, T.P.1
  • 8
    • 70349218800 scopus 로고
    • Quasi maximum likelihood estimation and inference in dynamic models with time varying covariances
    • Bollerslev, T.P. & J.M. Wooldridge (1992) Quasi maximum likelihood estimation and inference in dynamic models with time varying covariances. Econometric Reviews 11, 143-172.
    • (1992) Econometric Reviews , vol.11 , pp. 143-172
    • Bollerslev, T.P.1    Wooldridge, J.M.2
  • 10
    • 0032329416 scopus 로고    scopus 로고
    • Quasi-indirect inference for diffusion processes
    • Broze, L., O. Scaillet, & J.M. Zakoïan (1998) Quasi-indirect inference for diffusion processes. Econometric Theory 14, 161-186.
    • (1998) Econometric Theory , vol.14 , pp. 161-186
    • Broze, L.1    Scaillet, O.2    Zakoïan, J.M.3
  • 12
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    • Convergence of distributions generated by stationary stochastic processes
    • Davydov, Y.A. (1968) Convergence of distributions generated by stationary stochastic processes. Theory of Probability and Applications 13, 691-696.
    • (1968) Theory of Probability and Applications , vol.13 , pp. 691-696
    • Davydov, Y.A.1
  • 14
    • 0001413618 scopus 로고
    • Temporal aggregation of GARCH processes
    • Drost, F.C. & T. Nijman (1993) Temporal aggregation of GARCH processes. Econometrica 61, 909-927.
    • (1993) Econometrica , vol.61 , pp. 909-927
    • Drost, F.C.1    Nijman, T.2
  • 15
    • 0001867163 scopus 로고    scopus 로고
    • Closing the GARCH gap: Continuous time GARCH modeling
    • Drost, F.C. & B.J.M. Werker (1996). Closing the GARCH gap: Continuous time GARCH modeling. Journal of Econometrics 74, 31-57.
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  • 16
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    • Markov switching in GARCH processes and mean-reverting stock market volatility
    • Dueker, M.J. (1997) Markov switching in GARCH processes and mean-reverting stock market volatility. Journal of Business and Economic Statistics 15, 26-34.
    • (1997) Journal of Business and Economic Statistics , vol.15 , pp. 26-34
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  • 18
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation
    • Engle, R.F. (1982) Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation. Econometrica 50, 987-1008.
    • (1982) Econometrica , vol.50 , pp. 987-1008
    • Engle, R.F.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.