Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates (2014)

First Author: Han H
Attributed to:  Centre for the Microeconomic Analysis of Public Policy (CPP) funded by ESRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1080/07350015.2014.897954

Publication URI: http://dx.doi.org/10.1080/07350015.2014.897954

Type: Journal Article/Review

Parent Publication: Journal of Business & Economic Statistics

Issue: 3