Optimal Predictions of Powers of Conditionally Heteroskedastic Processes
Year of publication: |
2012-08
|
---|---|
Authors: | Francq, Christan ; Zakoian, Jean-Michel |
Institutions: | Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) |
Subject: | Efficiency of estimators | GARCH | Least-absolute deviations estimation | Prediction | Quasi maximum likelihood estimation |
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