Finite sample theory of QMLEs in ARCH models with an exogenous variable in the conditional variance equation

Studies in Nonlinear Dynamics and Econometrics

Volumn 13, Issue 2, 2009, Pages

  Iglesias, Emma M ^a  

^a MICHIGAN STATE UNIVERSITY   (United States)

Author keywords

ARCH models; Exogenous in the conditional variance; Finite sample properties QMLE

Indexed keywords

EID: 67650892234     PISSN: 10811826     EISSN: 15583708     Source Type: Journal    
DOI: 10.2202/1558-3708.1592     Document Type: Article

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