Least absolute deviations estimation for ARCH and GARCH models
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Publication:2813909
DOI10.1093/biomet/90.4.967zbMath1436.62439OpenAlexW1991968032MaRDI QIDQ2813909
Publication date: 27 June 2016
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/5828/
asymptotic normalitytime seriesARCHGARCHheavy tailleast absolute deviations estimatorGaussian likelihoodmaximum quasilikelihood estimator
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