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  • Search: subject:"global selfweighted/local quasi-maximum exponential likelihood estimator"
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Subject
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ARMA–GARCH/IGARCH model 1 asymptotic normality 1 global selfweighted/local quasi-maximum exponential likelihood estimator 1 strong consistency 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
Author
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Ling, Shiqing 1 Zhu, Ke 1
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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MPRA Paper 1
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RePEc 1
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Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
Zhu, Ke; Ling, Shiqing - Volkswirtschaftliche Fakultät, … - 2013
This paper investigates the asymptotic theory of the quasi-maximum exponential likelihood estimators (QMELE) for ARMA–GARCH models. Under only a fractional moment condition, the strong consistency and the asymptotic normality of the global self-weighted QMELE are obtained. Based on this...
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