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

By Oliver Linton

Abstract

We develop order T−1 asymptotic expansions for the quasi-maximum likelihood estimator (QMLE) and a two-step approximate QMLE in the GARCH(l,l) 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

Topics: HB Economic Theory
Publisher: Cambridge University Press
Year: 1997
DOI identifier: 10.1017/S0266466600006009
OAI identifier: oai:eprints.lse.ac.uk:1277
Provided by: LSE Research Online
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