Inconsistency of the MLE and inference based on weighted LS for LARCH models (Q736696)
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scientific article; zbMATH DE number 6609326
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| English | Inconsistency of the MLE and inference based on weighted LS for LARCH models |
scientific article; zbMATH DE number 6609326 |
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Inconsistency of the MLE and inference based on weighted LS for LARCH models (English)
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4 August 2016
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conditional homoscedasticity testing
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leverage effect
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linear ARCH
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quasi-maximum likelihood
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weighted least-squares
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