NM-QELE for ARMA-GARCH models with non-Gaussian innovations (Q534428)
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scientific article; zbMATH DE number 5895587
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| English | NM-QELE for ARMA-GARCH models with non-Gaussian innovations |
scientific article; zbMATH DE number 5895587 |
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NM-QELE for ARMA-GARCH models with non-Gaussian innovations (English)
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17 May 2011
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ARMA-GARCH model
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consistency
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Gaussian mixture model
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QMLE
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quasi-maximum estimated likelihood estimator
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0.8268054127693176
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0.7920732498168945
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0.7849583029747009
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0.7796371579170227
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