Semi-parametric estimation for ARCH models
In this paper, we conduct semi-parametric estimation for autoregressive conditional heteroscedasticity (ARCH) model with Quasi likelihood (QL) and Asymptotic Quasi-likelihood (AQL) estimation methods. The QL approach relaxes the distributional assumptions of ARCH processes. The AQL technique is obta...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2018-03-01
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| Series: | Alexandria Engineering Journal |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S111001681630237X |