Quantile Regression Estimator for GARCH Models
Author:
Publisher
Wiley
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9469.2011.00759.x/fullpdf
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2. The rate of consistency of the quasi-maximum likelihood estimator;Berkes;Statist. Probab. Lett.,2003
3. The efficiency of the estimators of the parameters in GARCH processes;Berkes;Ann. Statist.,2004
4. GARCH processes: structure and estimation;Berkes;Bernoulli,2003
5. The Lindeberg-Lévy theorem for martingales;Billingsley;Proc. Amer. Math. Soc.,1961
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