Empirical processes in the GARCH(1,1)-model and robust estimation of parameters
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Publication:4820921
DOI10.1070/RM2001V056N05ABEH000442zbMath1123.62321MaRDI QIDQ4820921
Publication date: 1 October 2004
Published in: Russian Mathematical Surveys (Search for Journal in Brave)
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Order statistics; empirical distribution functions (62G30)
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