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Search: subject:"Non-Gaussian QMLE"
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Non-Gaussian QMLE
4
Asymmetric innovation
3
Exchange rates
3
GARCH model
3
Leptokurtic innovation
3
Pearsonian QMLE
3
Stock indexes
3
ARCH model
2
ARCH-Modell
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Conditionally heteroskedastic model
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Pearson's Type IV distribution
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Bootstrap approach
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Conditional heteroskedasticity
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Exchange rate
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Innovation
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Pearson’s Type IV distribution
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Li, Wai Keung
3
Zhu, Ke
3
Francq, Christian
1
Zakoïan, Jean-Michel
1
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
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Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
2
A new Pearson-type QMLE for conditionally heteroskedastic models
Zhu, Ke
;
Li, Wai Keung
-
Volkswirtschaftliche Fakultät, …
-
2014
existing Gaussian QMLE, Laplacian QMLE, generalized
non-Gaussian
QMLE
, or LAD estimator, our Pearsonian QMLE(PQMLE) captures …
Persistent link: https://www.econbiz.de/10011260403
Saved in:
3
A new Pearson-type QMLE for conditionally heteroskedastic models
Zhu, Ke
;
Li, Wai Keung
-
Volkswirtschaftliche Fakultät, …
-
2013
existing Gaussian QMLE, Laplacian QMLE, generalized
non-Gaussian
QMLE
, or LAD estimator, our Pearsonian QMLE (PQMLE) captures …
Persistent link: https://www.econbiz.de/10011112398
Saved in:
4
A new Pearson-type QMLE for conditionally heteroscedastic models
Zhu, Ke
;
Li, Wai Keung
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
4
,
pp. 552-565
Persistent link: https://www.econbiz.de/10011403239
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