This paper develops an empirical likelihood approach for regular generalized autoregressive conditional heteroskedasticity (GARCH) models and GARCH models with unit roots. For regular GARCH models, it ...
Journal of Applied Econometrics, Vol. 23, No. 1, Themes in Financial Econometrics (Jan. - Feb., 2008), pp. 111-133 (23 pages) In this paper, we propose a unified approach to generating ...
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