Semiparametric Inference in a GARCH-in-Mean Model

Bent Jesper Christensen, Christian M. Dahl, Emma Iglesias

Research output: Contribution to journal › Journal article › Research › peer-review

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@article{a3271c9e8d0a45e19df739a3fc7f8cd4,

title = "Semiparametric Inference in a GARCH-in-Mean Model",

author = "Christensen, \{Bent Jesper\} and Dahl, \{Christian M.\} and Emma Iglesias",

year = "2012",

language = "English",

volume = "167",

pages = "458--472",

journal = "Journal of Econometrics",

issn = "0304-4076",

publisher = "Elsevier",

}