Asymptotic properties of the QMLE in a log-linear RealGARCH model with Gaussian errors
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DOI: 10.1007/s00362-018-1051-8
Abstract: To incorporate the realized volatility in stock return, Hansen et al. (J Appl Econ 27:877–906, 2012) proposed a RealGARCH model and conjectured some theoretical properties about the quasi-maximum likelihood estimation (QMLE) for parameters in a… read more here.
Keywords: realgarch model; realgarch; log linear; gaussian errors ... See more keywords