On estimation in conditional heteroskedastic time series models under non-normal distributions

Date

2006

Authors

Liu, Shuangzhe
Heyde, C C

Journal Title

Journal ISSN

Volume Title

Publisher

Springer

Abstract

Financial time series data are typically observed to have heavy tails and time-varying volatility. Conditional heteroskedastic models to describe this behaviour have received considerable attention. In the present paper, our purpose is to examine some of

Description

Keywords

Keywords: BHHH method; Heteroskedasticity; Likelihood; Newton-Raphson method

Citation

Source

Statistical Papers

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

DOI

10.1007/s00362-006-0026-3

Restricted until

2037-12-31