On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models
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Publication:5135327
DOI10.1111/jtsa.12525zbMath1453.62442OpenAlexW3023956865MaRDI QIDQ5135327
Publication date: 20 November 2020
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12525
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Cites Work
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