Least absolute deviations estimation for ARCH and GARCH models (Q2813909)
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scientific article; zbMATH DE number 6598492
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| English | Least absolute deviations estimation for ARCH and GARCH models |
scientific article; zbMATH DE number 6598492 |
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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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0.8618825078010559
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0.8455822467803955
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0.8418896198272705
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0.8413912057876587
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0.8369042873382568
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