Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models

DOI10.1016/j.jeconom.2021.09.002OpenAlexW2993308787MaRDI QIDQ6090562

Abdelhakim Aknouche, Christian Francq

Publication date: 17 November 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/97382/1/MPRA_paper_97382.pdf

zbMATH Keywords

exponentialPoissonautoregressive conditional duration modelinteger-valued GARCHinteger-valued ARnegative binomial QMLEweighted LSE

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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