Small sample properties of \(\text{GARCH}(1,1)\) estimator under non-normality
type: Item
instance of: scholarly article
title: Small sample properties of \(\text{GARCH}(1,1)\) estimator under non-normality
zbMATH Open document ID: 0899.90060
DOI: 10.1016/S0165-1765(97)00072-4
author: Jaesun Noh
published in: Economics Letters
publication date: 1998-07-22T00:00:00Z
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 91B82
zbMATH DE Number: 1177717
zbMATH Keywords: GARCH models
zbMATH Keywords: robust statistics
zbMATH Keywords: hypothesis testing
MaRDI profile type: Publication
cites work: Generalized autoregressive conditional heteroscedasticity
cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
cites work: Conditional Heteroskedasticity in Asset Returns: A New Approach
full work available at URL: s0165-1765(97)00072-4
OpenAlex ID: W2015875335
description: scientific article; zbMATH DE number 1177717