Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models

Christian Francq, Jean-Michel Zakoïan

Year of publication:	[2022]
Authors:	Francq, Christian ; Zakoïan, Jean-Michel
Publisher:	Palaiseau, France : Center for Research in Economics and Statistics
Subject:	APARCH \| Asymmetric Student-t distribution \| Beta-t-GARCH \| Conditional heteroskedasticity \| LAN in time series \| Quadratic mean differentiability \| Zeitreihenanalyse \| Time series analysis \| Heteroskedastizität \| Heteroscedasticity \| ARCH-Modell \| ARCH model \| Schätztheorie \| Estimation theory \| Statistische Verteilung \| Statistical distribution

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