A new Pearson-type QMLE for conditionally heteroscedastic models
Ke Zhu; Wai Keung Li
Year of publication: |
2015
|
---|---|
Authors: | Zhu, Ke ; Li, Wai Keung |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 33.2015, 4, p. 552-565
|
Subject: | Asymmetric innovation | Conditionally heteroscedastic model | Exchange rates | GARCH model | Leptokurtic innovation | Non-Gaussian QMLE | Pearson's Type IV distribution | Pearsonian QMLE | Stock indexes | ARCH-Modell | ARCH model | Wechselkurs | Exchange rate | Heteroskedastizität | Heteroscedasticity | Theorie | Theory | Aktienindex | Stock index | Innovation | Volatilität | Volatility | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis |
Saved in:
Saved in favorites
Similar items by subject
-
Tse, Yiu Kuen, (2002)
-
Hamzaoui, Nessrine, (2016)
-
A new Pearson-type QMLE for conditionally heteroskedastic models
Zhu, Ke, (2013)
- More ...
Similar items by person