Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
Year of publication: |
2011
|
---|---|
Authors: | Francq, Christian ; Lepage, Guillaume ; Zakoïan, Jean-Michel |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 165.2011, 2, p. 246-257
|
Publisher: |
Elsevier |
Subject: | Conditional heteroskedasticity | Efficiency of estimators | Quasi maximum likelihood estimation |
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