Nonstationary GARCH with tt-distributed innovations
Year of publication: |
January 2016
|
---|---|
Authors: | Pedersen, Rasmus Søndergaard ; Rahbek, Anders |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 138.2016, p. 19-21
|
Subject: | Asymptotic theory | GARCH | Maximum likelihood | Nonstationarity | tt-distribution | ARCH-Modell | ARCH model | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätztheorie | Estimation theory |
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