An Asymptotic Expansion in the Garch(1,1) Model

No 1118, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: We develop order T^{-1} asymptotic expansions for the quasi-maximum likelihood estimator (QMLE) and a two step approximate QMLE in the GARCH(1,1) model. We calculate the approximate mean and skewness and hence the Edgeworth-B distribution function. We suggest several methods of bias reduction based on these approximation.

Keywords: ARCH; quasi-likelihood; asymptotic expansions; bias reduction (search for similar items in EconPapers)
Pages: 35 pages
Date: 1996-03
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Econometric Theory (1997), 13: 558-581

Downloads: (external link)
https://cowles.yale.edu/sites/default/files/files/pub/d11/d1118.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Journal Article: An Asymptotic Expansion in the GARCH(l, 1) Model (1997)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:1118

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Brittany Ladd ().