Minimum density power divergence estimator for GARCH models

Sangyeol Lee () and Junmo Song ()

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2009, vol. 18, issue 2, 316-341

Keywords: ARCH models; GARCH models; Consistency; Asymptotic normality; Robustness; Density-based divergence measures; 62F12; 62F35 (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s11749-008-0093-y

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