Estimating Conditional Expectations when Volatility Fluctuates
收藏NBER1993-08-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/t0140
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资源简介：
Asymptotic variance of estimated parameters in models of conditional expectations are calculated analytically assuming a GARCH process for conditional volatility. Under such heteroskedasticity, OLS estimators or parameters in single-period models can posses substantially larger asymptotic variances
提供机构：
美国国家经济研究局
创建时间：
1993-08-01
