Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE (Q2691780)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE |
scientific article |
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Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE (English)
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30 March 2023
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ARCH
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closed form estimation
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heavy tails
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threshold ARCH
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instrumental variables
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regular variation
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two stage least squares
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0.88921905
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0.8881129
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0.87924933
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0.86985636
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0.86965454
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