Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
Work
Year: 2005
Type: article
Abstract: The recent paper by Peng & Yao (2003) gave an interesting extension of least absolute deviation estimation to generalised autoregressive conditional heteroscedasticity, GARCH, time series models. The ... more
Source: Biometrika
Authors Guodong Li, Wai Keung Li
Institution University of Hong Kong
Cites: 19
Cited by: 37
Related to: 10
FWCI: 0.643
Citation percentile (by year/subfield): 93.29
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze