๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Small sample properties of GARCH(1,1) estimator under non-normality

โœ Scribed by Jaesun Noh

Book ID
117332973
Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
38 KB
Volume
55
Category
Article
ISSN
0165-1765

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

Small sample estimation of ฯ 1
Small sample estimation of ฯ 1
โœ Wallis, James R.; O'Connell, P. Enda ๐Ÿ“‚ Article ๐Ÿ“… 1972 ๐Ÿ› American Geophysical Union ๐ŸŒ English โš– 333 KB
Asymptotic Normality for L1 Norm Kernel
Asymptotic Normality for L1 Norm Kernel Estimator of Conditional Median under ฮฑ-Mixing Dependence
โœ Yong Zhou; Hua Liang ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 192 KB

Let (X 1 , Y 1 ), (X 2 , Y 2 ), ..., be d+1 dimensional random vectors which are distributed as (X, Y). Let %(x) be the conditional median, that is, We consider the problem of estimating %(x) from the data (X 1 , Y 1 ), ..., (X n , Y n ) which are :-mixing dependence. L 1 -norm kernel estimators of