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Search: subject:"maximum quasilikelihood estimator"
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GARCH
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heavy tail
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least absolute deviations estimator
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maximum quasilikelihood estimator
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Gaussian likelihood
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Yao, Qiwei
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Peng, Liang
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Wang, Hansheng
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London School of Economics (LSE)
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Estimating GARCH models: when to use what?
Huang, Da
;
Wang, Hansheng
;
Yao, Qiwei
-
London School of Economics (LSE)
-
2008
interpreting the LADE as a version of the
maximum
quasilikelihood
estimator
under the likelihood derived from assuming …
Persistent link: https://www.econbiz.de/10011126440
Saved in:
2
Least absolute deviations estimation for ARCH and GARCH models
Peng, Liang
;
Yao, Qiwei
-
London School of Economics (LSE)
-
2003
/generalised autoregressive conditional heteroscedastic, models with heavy‐tailed errors, the conventional
maximum
quasilikelihood
estimator
…
Persistent link: https://www.econbiz.de/10011126223
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