Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models (Q477106)
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scientific article; zbMATH DE number 6376136
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| English | Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models |
scientific article; zbMATH DE number 6376136 |
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Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models (English)
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2 December 2014
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non-stationary TGARCH
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normal mixture QMLE
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consistency
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asymptotic normality
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efficiency
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0.8957991003990173
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0.8170943856239319
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0.8155381083488464
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0.8140968680381775
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0.8127472400665283
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