Quasilikelihood and quasi-maximum likelihood for GARCH-type processes: estimating function approach

DOI10.1016/J.JKSS.2014.01.005zbMath1304.62114OpenAlexW2053445054MaRDI QIDQ488612

Yong-Cai Geng, Sumit K. Garg

Publication date: 26 January 2015

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2014.01.005

zbMATH Keywords

quasi-maximum likelihoodGARCH-typequasilikelihoodskewed \(t\)-distribution

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Related Items (2)

On the threshold innovation in quasi-likelihood for conditionally heteroscedastic time series ⋮ Feasible optimum Godambe scores for a semi-parametric GARCH time series

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