Now showing items 1-1 of 1

  • Quadratic M-Estimators for ARCH-Type Processes 

    Meddahi, Nour; Renault, Éric (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 ...