Asymptotic properties of the QMLE in a log-linear RealGARCH model with Gaussian errors

DOI10.1007/S00362-018-1051-8zbMath1467.62151OpenAlexW2893369582MaRDI QIDQ2029208

Kaihong Xu, Lianfen Qian, Caiya Zhang

Publication date: 3 June 2021

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-018-1051-8

zbMATH Keywords

quasi-maximum likelihood estimatorconsistency and asymptotic normalityRealGARCH model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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