The efficiency of the estimators of the parameters in GARCH processes
Author:
Affiliation:
1. A. Rényi Institute of Mathematics, Hungarian Academy of Sciences
2. Department of Mathematics, University of Utah
Publisher
Institute of Mathematical Statistics
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://projecteuclid.org/download/pdfview_1/euclid.aos/1083178941
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