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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 1999.6
- 수록면
- 207 - 214 (8page)
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초록· 키워드
오류제보하기
Optimal estimating functions for a crass of autoregressive models with GARCH(1,1) error are discussed. The asymptotic properties of the estimator as the solution of the optimal estimating equation are investigated for the models. We have also some simulation results which suggest that the proposed optimal estimators have smaller sample variances than those of the conditional least-squares estimators under the heavy-tailed error distributions.
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UCI(KEPA) : I410-ECN-0101-2018-041-001389304