Amengual, Dante; Sentana, Enrique - 2008
parametric and semiparametric likelihood
procedures that assume elliptical innovations. We study the trade-off between … conditional distribution of the innovations is
elliptical but possibly misspecificed and heteroskedastic. We compare the small … situations in which the distribution of the innovations is (i) i.i.d. elliptical but
different from the one assumed for estimation …