A note on GARCH model identification

Computers and Mathematics with Applications

Volumn 55, Issue 11, 2008, Pages 2469-2475

  Ghahramani, M ^a   Thavaneswaran, A ^b  

^a UNIVERSITY OF WINNIPEG   (Canada)

^b UNIVERSITY OF MANITOBA   (Canada)

Author keywords

Estimating functions; GARCH; Least absolute deviation; Least squares; Model identification

Indexed keywords

INNOVATION; MATHEMATICAL MODELS; PARAMETER ESTIMATION; TIME SERIES ANALYSIS;

ESTIMATING FUNCTIONS; LEAST ABSOLUTE DEVIATION; MODEL IDENTIFICATION;

FINANCE;

EID: 41949139321     PISSN: 08981221     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.camwa.2007.10.001     Document Type: Article

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