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

B-Tier
Journal: Econometric Theory
Year: 2003
Volume: 19
Issue: 5
Pages: 879-880

Authors (2)

Kristensen, Dennis (Centre for Microdata Methods) Linton, Oliver (University of Cambridge)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Abstract

Consistent standard errors for target variance approach to GARCH estimation.

Technical Details

RePEc Handle
repec:cup:etheor:v:19:y:2003:i:05:p:879-880_22
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25