Generalized quasi maximum likelihood estimation for generalized autoregressive score models: simulations and real applications
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Publication:5082783
DOI10.1080/03610918.2019.1622721zbMath1497.62232OpenAlexW2947453326WikidataQ127704768 ScholiaQ127704768MaRDI QIDQ5082783
Imed Gammoudi, Asma Nani, Mohamed El Ghourabi
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/10.1080/03610918.2019.1622721
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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