Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56239
Authors: 
Skoglund, Jimmy
Year of Publication: 
2001
Series/Report no.: 
SSE/EFI Working Paper Series in Economics and Finance 434
Abstract: 
This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In addition efficiency results are obtained in the general framework of the GARCH(1,1)-M regression model.
Subjects: 
GARCH
GARCH-M
efficient GMM
JEL: 
C12
C13
C22
Document Type: 
Working Paper

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