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Least absolute deviations estimation for ARCH and GARCH models |
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| Authors: | Peng, Liang Yao, Qiwei |
| Affiliation: | 1 School of Mathematics, Georgia Institute of Technology, Atlanta, Georgia 30332-0160, U.S.Apeng{at}math.gatech.edu 2 Department of Statistics, The London School of Economics and Political Science, Houghton Street, London, WC2A 2AE, U.K.q.yao{at}lse.ac.uk |
| Abstract: | |
| Keywords: | ARCH Asymptotic normality GARCH Gaussian likelihood Heavy tail Least absolute deviations estimator Maximum quasilikelihood estimator Time series |
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