Bootstrapping two-stage quasi-maximum likelihood estimators of time series models
Year of publication: |
2023
|
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Authors: | Gonçalves, Sílvia ; Hounyo, Ulrich ; Patton, Andrew J. ; Sheppard, Kevin |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 41.2023, 3, p. 683-694
|
Subject: | Copulas | Inference | Multivariate GARCH | Zeitreihenanalyse | Time series analysis | Multivariate Verteilung | Multivariate distribution | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Bootstrap-Verfahren | Bootstrap approach | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
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