Semiparametric efficient adaptive estimation of the GJR-GARCH model
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Publication:1756033
DOI10.1515/strm-2017-0015zbMath1408.62145OpenAlexW2885813924MaRDI QIDQ1756033
Publication date: 11 January 2019
Published in: Statistics \& Risk Modeling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/strm-2017-0015
Asymptotic properties of parametric estimators (62F12) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)
Uses Software
Cites Work
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