Time series models with asymmetric Laplace innovations

DOI10.1080/00949650903071088zbMath1205.62135OpenAlexW1976320723MaRDI QIDQ3070611

Yun Zhu, Beth Andrews, A. Alexandre Trindade

Publication date: 3 February 2011

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650903071088

zbMATH Keywords

predictionGARCHjoint distributionARMAconditional maximum likelihoodfinancial returns

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15)

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