Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
Christian Francq; Guillaume Lepage; Jean-Michel Zakoïan
| Year of publication: |
2011
|
|---|---|
| Authors: | Francq, Christian ; Lepage, Guillaume ; Zakoïan, Jean-Michel |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 165.2011, 2, p. 246-257
|
| Subject: | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009409634