Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE (Q738084)
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scientific article; zbMATH DE number 6616984
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| English | Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE |
scientific article; zbMATH DE number 6616984 |
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Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE (English)
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15 August 2016
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conditional heteroskedasticity
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efficiency of estimators
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quasi maximum likelihood estimation
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0.8701832294464111
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0.8533943891525269
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0.8295006155967712
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