Nonstationary ARCH and GARCH with t-Distributed Innovations
Year of publication: |
2015-04-24
|
---|---|
Authors: | Pedersen, Rasmus Søndergaard ; Rahbek, Anders |
Institutions: | Økonomisk Institut, Københavns Universitet |
Subject: | ARCH | GARCH | asymptotic normality | asymptotic theory | consistency | t-distribution | maximum likelihood | nonstationarity |
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