Quasi-maximum likelihood estimation of GARCH with student distributed noise

DOI10.1080/03610918.2019.1580726zbMath1489.62272OpenAlexW2950236319WikidataQ127701744 ScholiaQ127701744MaRDI QIDQ5082606

K. Djeddour-Djaballah, L. Kerar

Publication date: 21 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2019.1580726

zbMATH Keywords

consistencyasymptotic normalityGARCH process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Standard Laplace quasi-maximum likelihood estimator for GARCH processes

Cites Work

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• QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Optimal Predictions of Powers of Conditionally Heteroscedastic Processes

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