Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models (Q2859073)
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scientific article; zbMATH DE number 6223215
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| English | Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models |
scientific article; zbMATH DE number 6223215 |
Statements
6 November 2013
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GARCH model
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inconsistency of estimators
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nonstationarity
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quasi-maximum likelihood estimation
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Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models (English)
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0.8556245565414429
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0.8528519868850708
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0.8500852584838867
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0.8293091058731079
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0.8104531168937683
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