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January 1, 1995Journal of Business and Economic Statistics

Finite-Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models: A Monte Carlo Investigation

Robin L. Lumsdaine

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Abstract

Robin L. Lumsdaine, Finite-Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models: A Monte Carlo Investigation, Journal of Business & Economic Statistics, Vol. 13, No. 1 (Jan., 1995), pp. 1-10

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Robin L. Lumsdaine (1995) studied this question.

synapsesocial.com/papers/6a9fe34c8b5dbbb92fe61cbe https://doi.org/10.2307/1392516

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Synapse has enriched 5 closely related papers on similar clinical questions. Consider them for comparative context:

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