Feasible optimum Godambe scores for a semi-parametric GARCH time series

DOI10.1016/j.jkss.2016.08.001zbMath1390.62177MaRDI QIDQ508110

Yong-Cai Geng, Sumit K. Garg

Publication date: 9 February 2017

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.2016.08.001

zbMATH Keywords

GARCH; quasi-maximum likelihood; feasible score; optimum godambe score

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