Least squares estimation for GARCH (1,1) model with heavy tailed errors
Year of publication: |
2014-01-17
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Authors: | Preminger, Arie ; Storti, Giuseppe |
Type of publication: | Book / Working Paper |
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Language: | English |
Notes: | Preminger, Arie and Storti, Giuseppe (2014): Least squares estimation for GARCH (1,1) model with heavy tailed errors. |
Classification: | C13 - Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models |
Source: | BASE |
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