Adaptive quasi-maximum likelihood estimation of GARCH models with Student’stlikelihood

DOI10.1080/03610926.2014.957852zbMath1356.62160OpenAlexW232118361MaRDI QIDQ2830196

Xiaorui Zhu, Li Xie

Publication date: 9 November 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2014.957852

zbMATH Keywords

adaptive estimatorquasi likelihoodGARCH modelheavy-tailed error

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05)

Cites Work

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