Asymptotically efficient estimation of the change point for semiparametric GARCH models

Takayuki Shiohama

No a471, Discussion Paper Series from Institute of Economic Research, Hitotsubashi University

Keywords: GARCH process; change point; maximum likelihood estimator; Bayesian estimator; asymptotic efficiency (search for similar items in EconPapers)
Pages: 23 p. pages
Date: 2006-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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