Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods

Keyphrases

• Likelihood Function 100%
• Scale Parameter 100%
• Generalized Autoregressive Conditional Heteroscedasticity (GARCH) 100%
• Quasi-maximum Likelihood Estimation 100%
• Maximum Likelihood Method 50%
• Non-Gaussian 50%
• Asymptotic Efficiency 50%
• Misspecification 50%
• Asymptotically Normal 50%
• Heavy Tails 50%
• Gaussian Maximum Likelihood 50%
• Non-Gaussian Likelihood 50%
• Weak Moment Condition 50%
• Heaviness 50%

Mathematics

• Gaussian Distribution 100%
• GARCH Model 100%
• Maximum Likelihood 100%
• Likelihood Function 66%
• Scale Parameter 66%
• Maximum Likelihood Estimator 33%
• Parametric 33%
• Numerical Analysis 33%
• Maximum Likelihood 33%
• Asymptotic Efficiency 33%
• Moment Condition 33%
• Heavy Tail 33%
• Misspecification 33%