QMLE for GARCH process with generalized Gaussian errors of variant mean

DOI10.1080/03610918.2025.2577411MaRDI QIDQ7238359zbMATH OpenFDO

Authors Yakoub Boularouk

Publication date 7 May 2026

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

Full work available at URL https://doi.org/10.1080/03610918.2025.2577411

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• Analysis of Financial Time Series
• Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
• Generalized autoregressive conditional heteroscedasticity
• Generalized Gaussian quasi-maximum likelihood estimation for most common time series
• Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods
• Quasi-maximum likelihood estimator of Laplace \((1,1)\) for GARCH models
• Standard Laplace quasi-maximum likelihood estimator for GARCH processes

This page was built for publication: QMLE for GARCH process with generalized Gaussian errors of variant mean

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7238359)