Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model

DOI10.1016/j.spl.2018.09.007zbMath1457.62255OpenAlexW2894968586MaRDI QIDQ1726827

Stelios Arvanitis

Publication date: 20 February 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.09.007

zbMATH Keywords

robustnessdomain of attractioninconsistencynon-stationarityasymmetric GARCHGaussian QMLEquasi-maximum likelihood estimation (QMLE)

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) General second-order stochastic processes (60G12)

Cites Work

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• Inference in nonstationary asymmetric GARCH models
• A note on the QMLE limit theory in the non-stationary ARCH(1) model
• Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model
• Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
• Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models
• Volatility in Equilibrium: Asymmetries and Dynamic Dependencies*
• Asymptotic Statistics
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
• Inference in Arch and Garch Models with Heavy-Tailed Errors

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