Least absolute deviations estimation for ARCH and GARCH models
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Publication:2813909
DOI10.1093/biomet/90.4.967zbMath1436.62439MaRDI QIDQ2813909
Publication date: 27 June 2016
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/5828/
asymptotic normality; time series; ARCH; GARCH; heavy tail; least absolute deviations estimator; Gaussian likelihood; maximum quasilikelihood estimator
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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