An asymptotic expansion in the GARCH(1,1) model

被引：24

作者：

Linton, O

机构：

来源：

ECONOMETRIC THEORY | 1997年 / 13卷 / 04期

关键词：

D O I：

10.1017/S0266466600006009

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 approximations.

引用

页码：558 / 581

页数：24

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