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On Convergence of the QMLE for Misspecified GARCH Models

journal contribution

posted on 2023-02-07, 23:59 authored by Anders Tolver Jensen, Theis Lange

On Convergence of the QMLE for Misspecified GARCH Models

History

Journal

JOURNAL OF TIME SERIES ECONOMETRICS

Volume

2

Publisher DOI

https://doi.org/10.2202/1941-1928.1034

ISSN

2194-6507

eISSN

1941-1928

Language

English

Author URL

https://www.webofscience.com/api/gateway?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000214752400003&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=a045e4b2bb1f2b747c68c720ec8913b7

Publication classification

C1.1 Refereed article in a scholarly journal

Issue

1

Publisher

WALTER DE GRUYTER GMBH

Publication URL

http://dx.doi.org/10.2202/1941-1928.1034

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Categories

Econometrics not elsewhere classified

Keywords

Social Sciences Social Sciences, Mathematical Methods Mathematical Methods In Social Sciences GARCH integrated GARCH misspecification high frequency exchange rates

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All Rights Reserved

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