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Two-Step Estimation for Time Varying Arch Models
Article (Web of Science)
Early Access (Web of Science)
International Collaboration
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cited authors
Zhang, Yuanyuan; Liu, Rong; Shao, Qin; Yang, Lijian
authors
Liu, Rong
Shao, Qin
publication date
February 4, 2020
webpage
Web of Science
published in
JOURNAL OF TIME SERIES ANALYSIS
Journal
Research
category
STATISTICS & PROBABILITY
Category
keywords
Asymptotic normality
B-spline
least squares
maximum likelihood
oracle efficiency