Optimal Predictions of Powers of Conditionally Heteroscedastic Processes

DOI10.1111/j.1467-9868.2012.01045.xOpenAlexW1743659313MaRDI QIDQ5088221

Jean-Michel Zakoian, Christian Francq

Publication date: 11 July 2022

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9868.2012.01045.x

zbMATH Keywords

predictionleast absolute deviations estimationefficiency of estimatorsquasi-maximum-likelihood estimationgeneralized auto-regressive conditional hetero scedasticity

Mathematics Subject Classification ID

Statistics (62-XX)

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