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

Published online by Cambridge University Press:  01 October 2004

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 20 , Issue 5 , October 2004 , pp. 990 - 993
Copyright
© 2004 Cambridge University Press

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References

REFERENCES

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