Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
| Year of publication: |
2011
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|---|---|
| Authors: | Francq, Christian ; Lepage, Guillaume ; Zakoïan, Jean-Michel |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 1848616. - Vol. 165.2011, 2, p. 246-258
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