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Estimation for autoregressive models with GARCH(1,1) error via optimal estimating function

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dc.contributor.author김삼용-
dc.date.accessioned2023-02-21T09:40:25Z-
dc.date.available2023-02-21T09:40:25Z-
dc.date.issued1999-06-
dc.identifier.urihttps://scholarworks.bwise.kr/cau/handle/2019.sw.cau/60845-
dc.description.abstractOptimal 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-
dc.format.extent8-
dc.publisher한국데이터정보과학회-
dc.titleEstimation for autoregressive models with GARCH(1,1) error via optimal estimating function-
dc.typeArticle-
dc.identifier.bibliographicCitation한국데이터정보과학지, v.10, no.1, pp 207 - 214-
dc.description.isOpenAccessN-
dc.citation.endPage214-
dc.citation.number1-
dc.citation.startPage207-
dc.citation.title한국데이터정보과학지-
dc.citation.volume10-
dc.identifier.urlhttps://www.dbpia.co.kr/journal/articleDetail?nodeId=NODE07243442-
dc.description.journalRegisteredClassdomestic-
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