Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases
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Publication:1757893
DOI10.1007/s11203-012-9073-7zbMath1333.62203OpenAlexW2092224874MaRDI QIDQ1757893
Publication date: 7 November 2012
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11203-012-9073-7
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (6)
A NEGATIVE BINOMIAL AUTOREGRESSION WITH A LINEAR CONDITIONAL VARIANCE-TO-MEAN FUNCTION ⋮ Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions ⋮ A multiplicative thinning‐based integer‐valued GARCH model ⋮ On an independent-switching periodic autoregressive conditional duration ⋮ Estimation and strict stationarity testing of ARCH processes based on weighted least squares ⋮ Weighted least squares-based inference for stable and unstable threshold power \textit{ARCH} processes
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