A new Pearson-type QMLE for conditionally heteroscedastic models
Ke Zhu; Wai Keung Li
| Year of publication: |
2015
|
|---|---|
| Authors: | Zhu, Ke ; Li, Wai Keung |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 33.2015, 4, p. 552-565
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| Subject: | Asymmetric innovation | Conditionally heteroscedastic model | Exchange rates | GARCH model | Leptokurtic innovation | Non-Gaussian QMLE | Pearson's Type IV distribution | Pearsonian QMLE | Stock indexes | ARCH-Modell | ARCH model | Wechselkurs | Exchange rate | Aktienindex | Stock index | Heteroskedastizität | Heteroscedasticity | Innovation | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011403239