Asymptotic Distribution of the Cointegrating Vector Estimator in Error Correction Models with Conditional Heteroskedasticity

By Byeongseon Seo. 2007

52 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/db0aa45c725fd5f6a9dea18b4dcd6266f6b50be0

How researchers see this paper

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In Economics and Econometrics

1. Teresa Serra
2. David Zilberman
3. J. Gil
4. Franziska Schulz
5. Brenda López Cabrera
6. Walid Mensi
7. Ladislav Kristoufek
8. Karel Janda

In Finance

1. David Zilberman
2. J. Gil
3. Teresa Serra

In Statistics and Probability

1. David Zilberman
2. J. Gil
3. Teresa Serra

Citations in the corpus

• Price volatility in ethanol markets (2011, methodology): “9 Concluding remarks We assess volatility spillovers in Brazilian ethanol markets by using Seo’s (2007) maximum likelihood estimator that estimates the error correction model and the multivariate GARCH process jointly.”