Quasi-maximum likelihood estimation of GARCH models with heavy-tailed likelihoods
Jianqing Fan and Lei Qi; Dacheng Xiu
| Year of publication: |
2014
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|---|---|
| Authors: | Fan, Jianqing ; Qi, Lei ; Xiu, Dacheng |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 32.2014, 2, p. 178-205
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| Subject: | Heavy-tailed error | Quasi-likelihood | Three-step estimator | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Statistische Verteilung | Statistical distribution |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Kommentare vh. |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010488571