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Efficient estimation in semiparametric GARCH models - MaRDI portal

Efficient estimation in semiparametric GARCH models (Q1372928)

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scientific article; zbMATH DE number 1083053
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English
Efficient estimation in semiparametric GARCH models
scientific article; zbMATH DE number 1083053

    Statements

    title
    Efficient estimation in semiparametric GARCH models (English)
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    author
    Feike C. Drost
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    Chris A. J. Klaassen
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    publication date
    26 September 2000
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    zbMATH Keywords
    LAN in time-series
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    semiparametrics
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    adaptivity
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    GARCH
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    cites work
    On adaptive estimation
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    Q4277836
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    Q5543905
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    Robust Statistics
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    Q3749988
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    Q3896361
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    Identifiers

    Mathematics Subject Classification ID
    62P20
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    62M10
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    62P05
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    91B84
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    zbMATH DE Number
    1083053
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