Quasilikelihood and quasi-maximum likelihood for GARCH-type processes: estimating function approach

DOI10.1016/j.jkss.2014.01.005zbMath1304.62114MaRDI QIDQ488612

Yong-Cai Geng, Sumit K. Garg

Publication date: 26 January 2015

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2014.01.005

zbMATH Keywords

quasi-maximum likelihood; GARCH-type; quasilikelihood; skewed \(t\)-distribution

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P10: Applications of statistics to biology and medical sciences; meta analysis