Estimation for a nonstationary semi-strong GARCH (1,1) model with heavy-tailed errors
Oliver Linton, Jiazhu Pan and Hui Wang
| Year of publication: |
2010
|
|---|---|
| Authors: | Linton, Oliver ; Pan, Jiazhu ; Wang, Hui |
| Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 901661-2. - Vol. 26.2010, 1, p. 1-28
|
| Subject: | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Volatilität | Volatility | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
| 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://www.econbiz.de/10003968440