Quadratic M-Estimators for ARCH-Type Processes
Year of publication: |
1998-01-01
|
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Authors: | Meddahi, Nour ; Renault, Éric |
Institutions: | Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) |
Subject: | M-estimator | QMLE | GMM | heteroskedasticity | conditional skewness and kurtosis | M-estimateur | EPMV | hétéroscédasticité | skewness et kurtosis conditionnelles |
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Quadratic M-Estimators for ARCH-Type Processes
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