M-estimation and linear hypothesis testing in the ARCH model

DOI10.1070/RM2006V061N02ABEH004320zbMath1115.62089OpenAlexW1986040633MaRDI QIDQ5296726

A. A. Sorokin

Publication date: 6 August 2007

Published in: Russian Mathematical Surveys (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1070/rm2006v061n02abeh004320

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Non-Markovian processes: hypothesis testing (62M07)

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