Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models
Year of publication: |
2014
|
---|---|
Authors: | Wang, Hui ; Pan, Jiazhu |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 91.2014, C, p. 117-123
|
Publisher: |
Elsevier |
Subject: | Non-stationary TGARCH models | NM-QMLE | Consistency |
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