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03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation

Published online by Cambridge University Press:  01 October 2003

Dennis Kristensen  and
Oliver Linton
Dennis Kristensen
Affiliation:
London School of Economics
Oliver Linton
Affiliation:
London School of Economics
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Extract

Consistent standard errors for target variance approach to GARCH estimation.

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Type
PROBLEMS AND SOLUTIONS
Information
Econometric Theory , Volume 19 , Issue 5 , October 2003 , pp. 879 - 880
Copyright
© 2003 Cambridge University Press

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References

REFERENCE

Engle, R.F. & Sheppard, K. (2001) Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH. NBER Working paper w8554.
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