Estimation and strict stationarity testing of ARCH processes based on weighted least squares

DOI10.3103/S106653071402001XzbMath1308.62166OpenAlexW2421989967MaRDI QIDQ2261914

Abdelhakim Aknouche

Publication date: 13 March 2015

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s106653071402001x

zbMATH Keywords

instabilitystrict stationarityARCH processstrict stationarity testingtwo-stage weighted least squares

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

Related Items (1)

Weighted least squares-based inference for stable and unstable threshold power \textit{ARCH} processes

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