Finite sample properties of the maximum likelihood Estimator in GARCH (1,1) and IGARCH (1,1) models: A Monte Carlo investigation

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66 Citations (Scopus)

Original language	English
Pages (from-to)	1-10
Number of pages	10
Journal	Journal of Business and Economic Statistics
Volume	13
Publication status	Published - 1995
Externally published	Yes

Research programs

@article{e44d92659e594aedac0432478fba7f1c,

title = "Finite sample properties of the maximum likelihood Estimator in GARCH (1,1) and IGARCH (1,1) models: A Monte Carlo investigation",

author = "Robin Lumsdaine",

year = "1995",

language = "English",

volume = "13",

pages = "1--10",

journal = "Journal of Business and Economic Statistics",

issn = "0735-0015",

publisher = "Taylor \& Francis Ltd",

}