Bootstrap refinements for QML estimators of the GARCH(1,1) parameters

Journal of Econometrics

Volumn 144, Issue 2, 2008, Pages 500-510

  Corradi, Valentina ^a   Iglesias, Emma M ^b  

^a UNIVERSITY OF WARWICK   (United Kingdom)

^b MICHIGAN STATE UNIVERSITY   (United States)

Author keywords

Block bootstrap; Edgeworth expansion; GARCH; Higher order refinements; Quasi Maximum Likelihood

Indexed keywords

BLOCK CODES; DYNAMIC MODELS; DYNAMIC PROGRAMMING; ESTIMATION; MATHEMATICAL MODELS; MAXIMUM LIKELIHOOD; PARAMETER ESTIMATION; STATISTICAL TESTS; STATISTICS; TECHNOLOGY; TRAJECTORIES;

(R ,S)-SYMMETRIC; COMPUTATIONALLY ATTRACTIVE; EDGEWORTH EXPANSION; ELSEVIER (CO); EXTREMUM ESTIMATORS; GARCH MODELS; HIGHER ORDER; INNOVATION PROCESSES; LIKELIHOOD FUNCTIONS; NECESSARY CONDITIONS; NONLINEAR DYNAMIC MODELING; QUASI-MAXIMUM LIKELIHOOD ESTIMATION; RE SAMPLING; SUFFICIENT CONDITIONS (SC); TEST STATISTICS;

MAXIMUM LIKELIHOOD ESTIMATION;

EID: 45849107192     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.03.003     Document Type: Article

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