Parcourir Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications par sujet "M-estimateur"
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Quadratic M-Estimators for ARCH-Type Processes
(Université de Montréal. Département de sciences économiques., 1998)This paper addresses the issue of estimating semiparametric time series models specified by their conditional mean and conditional variance. We stress the importance of using joint restrictions on the mean and variance. This leads us to take into account ...