Small sample properties of GARCH(1,1) estimator under non-normality

Author: Szegedi A.   Wetzel H.   Angersbach D.   Philipp M.   Benkert O.   Noh J.  

Publisher: Elsevier

ISSN: 0165-1765

Source: Economics Letters, Vol.55, Iss.2, 1997-08, pp. : 161-164

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Abstract