A new Pearson-Type QMLE for conditionally heteroscedastic models

Keyphrases

• Quasi-maximum Likelihood Estimation 100%
• Heteroscedastic Model 100%
• Copyright 16%
• Simulation Study 16%
• Laplacian 16%
• Exchange Rate 16%
• Stock Index 16%
• American Statistical Association 16%
• Generalized Autoregressive Conditional Heteroscedasticity (GARCH) 16%
• Strict Stationarity 16%
• Strong Consistency 16%
• LAD Estimator 16%
• Weak Moment Condition 16%
• Non-Gaussian 16%
• Strong Asymptotics 16%
• Asymptotic Normality 16%

Mathematics

• Maximum Likelihood Estimator 100%
• Gaussian Distribution 33%
• Simulation Study 16%
• Laplace Operator 16%
• Strict Stationarity 16%
• Asymptotic Normality 16%
• Moment Condition 16%