Standard Laplace quasi-maximum likelihood estimator for GARCH processes

DOI10.1080/03610918.2021.1884877MaRDI QIDQ6171872

Yakoub Boularouk

Publication date: 18 July 2023

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

zbMATH Keywords

asymptotic normalitystrong consistencyGARCH processesLaplace quasi-maximum likelihood estimator

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Quasi-maximum likelihood estimation of GARCH with student distributed noise
• An Inequality and Almost Sure Convergence