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• W2024606956 abstract "We develop order T −1 asymptotic expansions for the quasi-maximum likelihood estimator (QMLE) and a two-step approximate QMLE in the GARCH(l,l) model. We calculate the approximate mean and skewness and, hence, the Edgeworth-B distribution function. We suggest several methods of bias reduction based on these approximations." @default.
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• W2024606956 date "1997-02-01" @default.
• W2024606956 modified "2023-10-10" @default.
• W2024606956 title "An Asymptotic Expansion in the GARCH(l, 1) Model" @default.
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• W2024606956 doi "https://doi.org/10.1017/s0266466600006009" @default.
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