Robust closed-form estimators for the integer-valued GARCH(1,1) model
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Publication:1659080
DOI10.1016/j.csda.2016.03.006zbMath1466.62141OpenAlexW2306933795MaRDI QIDQ1659080
Publication date: 15 August 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2016.03.006
Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Robustness and adaptive procedures (parametric inference) (62F35)
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Uses Software
Cites Work
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