An exponential Chi-squared QMLE for log-GARCH models via the ARMA representation
Christian Francq and Genaro Sucarrat
| Year of publication: |
2018
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|---|---|
| Authors: | Francq, Christian ; Sucarrat, Genaro |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 16.2018, 1, p. 129-154
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| Subject: | ARMA | EGARCH | exponential Chi-squared | log-GARCH | quasi-maximum likelihood | ARMA-Modell | ARMA model | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Zeitreihenanalyse | Time series analysis | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbx032 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011987691