Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE

✍ Scribed by Christian Francq; Guillaume Lepage; Jean-Michel Zakoïan

• Book ID: 113700347
• Publisher: Elsevier Science
• Year: 2011
• Tongue: English
• Weight: 385 KB
• Volume: 165
• Category: Article
• ISSN: 0304-4076
• DOI: 10.1016/j.jeconom.2011.08.001