Two‐Step Estimation for Time Varying Arch Models (Q5121011)
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scientific article; zbMATH DE number 7248379
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Two‐Step Estimation for Time Varying Arch Models |
scientific article; zbMATH DE number 7248379 |
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Two‐Step Estimation for Time Varying Arch Models (English)
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16 September 2020
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autoregressive conditional heteroskedasticity (ARCH) model
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asymptotic normality
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B-spline
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least squares
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maximum likelihood
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oracle efficiency
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