A new algorithm for maximum likelihood estimation in normal scale-mixture generalized autoregressive conditional heteroskedastic models (Q5220713)
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scientific article; zbMATH DE number 7183063
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new algorithm for maximum likelihood estimation in normal scale-mixture generalized autoregressive conditional heteroskedastic models |
scientific article; zbMATH DE number 7183063 |
Statements
A new algorithm for maximum likelihood estimation in normal scale-mixture generalized autoregressive conditional heteroskedastic models (English)
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27 March 2020
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estimated maximum likelihood estimator
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GARCH model
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nonparametric MLE
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value-at-risk
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