Least absolute deviations estimation for ARCH and GARCH models

DOI10.1093/biomet/90.4.967zbMath1436.62439OpenAlexW1991968032MaRDI QIDQ2813909

Qiwei Yao, Liang Peng

Publication date: 27 June 2016

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/5828/

zbMATH Keywords

asymptotic normalitytime seriesARCHGARCHheavy tailleast absolute deviations estimatorGaussian likelihoodmaximum quasilikelihood estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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