Empirical likelihood for AR-ARCH models based on LAD estimation (Q511188): Difference between revisions

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+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
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+G05
@@ Property / Mathematics Subject Classification ID: 62G05 / rank @@
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+G20
@@ Property / Mathematics Subject Classification ID: 62G20 / rank @@
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@@ Property / zbMATH DE Number @@
+6684608
@@ Property / zbMATH DE Number: 6684608 / rank @@
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@@ Property / zbMATH Keywords @@
+AR-ARCH model
@@ Property / zbMATH Keywords: AR-ARCH model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+confidence region
@@ Property / zbMATH Keywords: confidence region / rank @@
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@@ Property / zbMATH Keywords @@
+empirical likelihood
@@ Property / zbMATH Keywords: empirical likelihood / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+LAD estimation
@@ Property / zbMATH Keywords: LAD estimation / rank @@
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+https://doi.org/10.1007/s10255-010-0051-9
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+EMPIRICAL LIKELIHOOD FOR GARCH MODELS
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+Q4542751
@@ Property / cites work: Q4542751 / rank @@
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@@ Property / cites work @@
+M-estimation for autoregression with infinite variance
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@@ Property / cites work @@
+Least absolute deviation estimation for regression with ARMA errors
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@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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@@ Property / cites work @@
+Q3911791
@@ Property / cites work: Q3911791 / rank @@
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@@ Property / cites work @@
+Inference in Arch and Garch Models with Heavy-Tailed Errors
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@@ Property / cites work @@
+Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
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@@ Property / cites work @@
+Empirical likelihood confidence regions in time series models
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@@ Property / cites work @@
+Empirical likelihood ratio confidence intervals for a single functional
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@@ Property / cites work @@
+Empirical likelihood ratio confidence regions
@@ Property / cites work: Empirical likelihood ratio confidence regions / rank @@
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+WEIGHTED LEAST ABSOLUTE DEVIATIONS ESTIMATION FOR ARMA MODELS WITH INFINITE VARIANCE
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+Q3780320
@@ Property / cites work: Q3780320 / rank @@
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@@ Property / cites work @@
+Least absolute deviations estimation for ARCH and GARCH models
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@@ Property / cites work @@
+Empirical likelihood and general estimating equations
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+Publication:511188