Miscellanea least absolute deviations estimation for ARCH and GARCH models

Biometrika

Volumn 90, Issue 4, 2003, Pages 967-975

  Peng, Liang ^a   Yao, Qiwei ^b  

^a GEORGIA INSTITUTE OF TECHNOLOGY   (United States)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

ARCH; Asymptotic normality; GARCH; Gaussian likelihood; Heavy tail; Least absolute deviations estimator; Maximum quasilikelihood estimator; Time series

Indexed keywords

EID: 3843126279     PISSN: 00063444     EISSN: None     Source Type: Journal    
DOI: 10.1093/biomet/90.4.967     Document Type: Article

References (20)

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