2 papers
stat.CO2017
New approximation for GARCH parameters estimate
Yakoub Boularouk, Nasr-eddine Hamri
This paper presents a new approach for the optimization of GARCH parameters estimation. Firstly, we propose a method for the localization of the maximum. Thereafter, using the meth…
math.ST2016
Asymptotic behavior of the Laplacian quasi-maximum likelihood estimator of affine causal processes
Jean-Marc Bardet, Yakoub Boularouk, Khedidja Djaballah
We prove the consistency and asymptotic normality of the Laplacian Quasi-Maximum Likelihood Estimator (QMLE) for a general class of causal time series including ARMA, AR(),…