Modelling the persistence of conditional variances
This paper will discuss the current research in building models of conditional variances using the Autoregressive Conditional Heteroskedastic (ARCH) and Generalized ARCH (GARCH)...
Publications
4 shownQuasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
We study the properties of the quasi-maximum likelihood estimator (QMLE) and related test statistics in dynamic models that jointly parameterize conditional means and conditiona...
Frequent Co-Authors
Researcher Info
- h-index
- 4
- Publications
- 4
- Citations
- 31,362
- Institution
- Northwestern University
External Links
Impact Metrics
h-index
4
h-index: Number of publications with at least h citations each.