Journal of Applied Econometrics, Vol. 17, No. 5, Special Issue: Modelling and Forecasting Financial Volatility (Sep. - Oct., 2002), pp. 509-534 (26 pages) Theoretical and practical interest in ...
This paper considers a local least absolute deviation estimation for unit root processes with generalized autoregressive conditional heteroskedastic (GARCH) errors and derives its asymptotic ...
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