Finite-Sample Properties of the Maximum Likelihood...

Finite-Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models: A Monte Carlo Investigation

Robin L. Lumsdaine
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Volume:
13
Language:
english
Journal:
Journal of Business & Economic Statistics
DOI:
10.2307/1392516
Date:
April, 1995
File:
PDF, 486 KB
english, 1995
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