The Econometrics Journal, Vol. 16, No. 1, EC 2 2010 SPECIAL ISSUE: IDENTIFICATION IN ECONOMETRICS, THEORY AND APPLICATIONS (2013), pp. 27-72 (46 pages) We consider a standard instrumental variables ...
The augmented GARCH model is a unification of numerous extensions of the popular and widely used ARCH process. It was introduced by Duan and besides ordinary (linear) GARCH processes, it contains ...
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