Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
Author:
Publisher
Wiley
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9892.2008.00598.x/fullpdf
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5. The efficiency of the estimators of the parameters in GARCH processes;Berkes;Annals of statistics,2004
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