A Tour in the Asymptotic Theory of GARCH Estimation
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Publication:3646950
DOI10.1007/978-3-540-71297-8_4zbMath1178.62097OpenAlexW1549966320MaRDI QIDQ3646950
Jean-Michel Zakoian, Christian Francq
Publication date: 27 November 2009
Published in: Handbook of Financial Time Series (Search for Journal in Brave)
Full work available at URL: http://crest.science/RePEc/wpstorage/2008-03.pdf
ARMA modelsWhittle estimatormoment estimatorsquasi maximum likelihood estimationleast absolute deviation estimators
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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