Least absolute deviation estimation for unit root processes with garch errors

Keyphrases

• Generalized Autoregressive Conditional Heteroscedasticity (GARCH) 100%
• Unit Root Process 100%
• Least Absolute Deviation Estimation 100%
• Brownian Motion 33%
• Bivariate 33%
• Asymptotic Properties 33%
• Asymptotic Distribution 33%
• Quasi-maximum Likelihood Estimation 33%
• Unit Root Test 33%
• Second-order Moment 33%
• Heavy-tailed Innovations 33%
• Unit Root 33%
• Heteroskedastic Errors 33%

Mathematics

• Unit Root Process 100%
• Least Absolute Deviation 100%
• Gaussian Distribution 33%
• Maximum Likelihood Estimator 33%
• Conditionals 33%
• Bivariate 33%
• Asymptotic Property 33%
• Asymptotic Distribution 33%
• Unit Root Test 33%
• Brownian Motion 33%
• Absolute Deviation Estimator 33%