Least absolute deviations estimation for ARCH and GARCH models (Q2813909): Difference between revisions
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Latest revision as of 01:06, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Least absolute deviations estimation for ARCH and GARCH models |
scientific article |
Statements
Least absolute deviations estimation for ARCH and GARCH models (English)
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27 June 2016
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ARCH
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asymptotic normality
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GARCH
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Gaussian likelihood
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heavy tail
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least absolute deviations estimator
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maximum quasilikelihood estimator
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time series
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