On estimation in conditional heteroskedastic time series models under non-normal distribu\-tions

DOI10.1007/s00362-006-0026-3zbMath1148.62076OpenAlexW2077642378MaRDI QIDQ946254

Shuangzhe Liu, Christopher C. Heyde

Publication date: 22 September 2008

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-006-0026-3

zbMATH Keywords

likelihoodNewton-Raphson methodheteroskedasticityBHHH method

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Statistics of extreme values; tail inference (62G32)

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Uses Software

• S-PLUS
• S+FinMetrics
• QRM
• StFinMetrics

Cites Work

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