Asymptotic efficiency of conditional least squares estimators for ARCH models

DOI10.1016/j.spl.2007.05.016zbMath1290.62067OpenAlexW2012783336MaRDI QIDQ2476827

Tomoyuki Amano, Masanobu Taniguchi

Publication date: 12 March 2008

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

Full work available at URL: https://doi.org/10.1016/j.spl.2007.05.016

zbMATH Keywords

asymptotic efficiencylocal asymptotic normalityconditional least squares estimatorARCH model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Point estimation (62F10)

Related Items

Asymptotic optimality of estimating function estimator for CHARN model, Estimating function approach for CHARN models, Asymptotic inference for periodic ARCH processes

Cites Work

• Estimation in nonlinear time series models
• Asymptotic theory of statistical inference for time series
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
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