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ArticleOptimal instrumental variables estimation for ARMA models

Guido M. Kuersteiner2001

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Articlegreen2001

Optimal instrumental variables estimation for ARMA models

Guido M. Kuersteiner

36 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Time Series Analysis and Forecasting Statistical and numerical algorithms

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1989Simulation and the Asymptotics of Optimization Estimators 1990Stationarity and Persistence in the GARCH(1,1) Model 1983Nearly Efficient Estimation of Time Series Models with Predetermined, but not Exogenous, Instruments 1985The moment structure of ARCH processes 1997Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors

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2002EFFICIENT IV ESTIMATION FOR AUTOREGRESSIVE MODELS WITH CONDITIONAL HETEROSKEDASTICITY 2013A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter

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2002EFFICIENT IV ESTIMATION FOR AUTOREGRESSIVE MODELS WITH CONDITIONAL HETEROSKEDASTICITYarticle · 4 shared references 1993Adaptive Estimation in ARCH Modelsarticle · 3 shared references 1997A new non-linear GARCH modelthesis · 3 shared references 2009Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processeschapter · 3 shared references 199611 Nonlinear time series, complexity theory, and financechapter · 3 shared references 2001Financial econometrics: Past developments and future challengesarticle · 3 shared references

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Year2001

Typearticle

Published2001-09-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations36

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0304-4076(01)00088-4

openalex_workW3121248619

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