Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Abdelhakim Aknouche, Christian Francq
| Year of publication: |
2023
|
|---|---|
| Authors: | Aknouche, Abdelhakim ; Francq, Christian |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 237.2023, 2,2, p. 1-22
|
| Subject: | Autoregressive Conditional Duration model | Exponential | INteger-valued AR | INteger-valued GARCH | Negative Binomial QMLE | Poisson | Weighted LSE | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2021.09.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014471524