Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes
Year of publication: |
2010-07
|
---|---|
Authors: | Chorro, Christophe ; Guegan, Dominique ; Ielpo, Florian |
Institutions: | HAL |
Subject: | Maximum likelihood method | related-GARCH process | recursive estimation method | mixture of Gaussian distribution | Generalized Hyperbolic distributions | SP500 |
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