Finite-Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models: A Monte Carlo Investigation

Autor:	Lumsdaine, Robin L.
Zdroj:	Journal of Business & Economic Statistics, 1995 Jan 01. 13(1), 1-10.
Databáze:	JSTOR Journals
Externí odkaz:	https://www.jstor.org/stable/1392516 Zobrazit plný text záznamu