Least absolute deviations estimation for ARCH and GARCH models
Year of publication: |
2003-05
|
---|---|
Authors: | Peng, Liang ; Yao, Qiwei |
Institutions: | London School of Economics (LSE) |
Subject: | ARCH | asymptotic normality | GARCH | gaussian likelihood | heavy tail | least absolute deviations estimator | maximum quasilikelihood estimator | Time series |
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