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Quasi-Likelihood Estimation for ARCH models
- Authors
- 김삼용
- Issue Date
- Sep-2005
- Publisher
- 한국데이터정보과학회
- Keywords
- ARCH; MLE; Quasi-Likelihood Function
- Citation
- 한국데이터정보과학회지, v.16, no.3, pp 651 - 656
- Pages
- 6
- Journal Title
- 한국데이터정보과학회지
- Volume
- 16
- Number
- 3
- Start Page
- 651
- End Page
- 656
- ISSN
- 1598-9402
- Abstract
- In this paper, the quasi-likelihood function was proposed and the estimators which are the solutions of the estimating equations for estimation of a class of nonlinear time series models. We compare the performances of the proposed estimators with those of the ML estimators under the heavy-railed distributions by simulation.
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