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- W3132099262 abstract "We propose a consistent estimator for the noise mean m of the GARCH process based on Laplace (m,1) errors. Also, we prove the consistency and asymptotic normality for the Quasi-Maximum Likelihood Estimator of the GARCH model based on the Laplace residuals with any mean value for the residuals. Numerical simulations confirm the accuracy of the estimators." @default.
- W3132099262 created "2021-03-01" @default.
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- W3132099262 date "2021-02-22" @default.
- W3132099262 modified "2023-09-23" @default.
- W3132099262 title "Standard Laplace quasi-maximum likelihood estimator for GARCH processes" @default.
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- W3132099262 doi "https://doi.org/10.1080/03610918.2021.1884877" @default.
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