Minimum density power divergence estimator for GARCH models
Year of publication: |
2009
|
---|---|
Authors: | Lee, Sangyeol ; Song, Junmo |
Published in: |
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. - Springer. - Vol. 18.2009, 2, p. 316-341
|
Publisher: |
Springer |
Subject: | ARCH models | GARCH models | Consistency | Asymptotic normality | Robustness | Density-based divergence measures |
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