Small sample properties of GARCH(1,1) estimator under non-normality
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Noh, Jaesun | ko |
| dc.date.accessioned | 2013-03-02T13:41:02Z | - |
| dc.date.available | 2013-03-02T13:41:02Z | - |
| dc.date.created | 2012-02-06 | - |
| dc.date.created | 2012-02-06 | - |
| dc.date.issued | 1997 | - |
| dc.identifier.citation | ECONOMICS LETTERS, v.55, no.2, pp.161 - 164 | - |
| dc.identifier.issn | 0165-1765 | - |
| dc.identifier.uri | http://hdl.handle.net/10203/73786 | - |
| dc.description.abstract | Small sample properties of Lagrange multiplier (LM), likelihood ratio (LR) and Wald test statistics are studied for GARCH(1,1) and IGARCH(1,1) models. Under non-normally distributed errors, it is shown that the robust LM test statistic performs best. (C) 1997 Elsevier Science S.A. | - |
| dc.language | English | - |
| dc.publisher | ELSEVIER SCIENCE SA LAUSANNE | - |
| dc.subject | CONDITIONAL HETEROSKEDASTICITY | - |
| dc.title | Small sample properties of GARCH(1,1) estimator under non-normality | - |
| dc.type | Article | - |
| dc.identifier.wosid | A1997XZ77600002 | - |
| dc.identifier.scopusid | 2-s2.0-0031285271 | - |
| dc.type.rims | ART | - |
| dc.citation.volume | 55 | - |
| dc.citation.issue | 2 | - |
| dc.citation.beginningpage | 161 | - |
| dc.citation.endingpage | 164 | - |
| dc.citation.publicationname | ECONOMICS LETTERS | - |
| dc.identifier.doi | 10.1016/S0165-1765(97)00072-4 | - |
| dc.contributor.localauthor | Noh, Jaesun | - |
| dc.type.journalArticle | Article | - |
| dc.subject.keywordAuthor | GARCH models | - |
| dc.subject.keywordAuthor | robust statistics | - |
| dc.subject.keywordAuthor | hypothesis testing | - |
| dc.subject.keywordPlus | CONDITIONAL HETEROSKEDASTICITY | - |
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