Quasi score-driven models
F. Blasques, Christian Francq, Sébastien Laurent
| Year of publication: |
2023
|
|---|---|
| Authors: | Blasques, F. ; Francq, Christian ; Laurent, Sébastien |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 234.2023, 1, p. 251-275
|
| Subject: | Score-driven models | GARCH | Fat-tails | Asymmetry | QLE | QMLE | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2021.12.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014364807