Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates

115 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES (2015, methodology): “Note, however, that A2 is employed by Escanciano (2009) and Han and Kristensen (2014).”