Two-Step Estimation for Time Varying Arch Models

Article (Web of Science), Early Access (Web of Science)

• 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
• category: STATISTICS & PROBABILITY Category

keywords

• Asymptotic normality
• B-spline
• least squares
• maximum likelihood
• oracle efficiency