Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE

DOI10.1515/snde-2017-0070OpenAlexW2894241912MaRDI QIDQ2691780

Todd Prono

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2017-0070

zbMATH Keywords

regular variationARCHheavy tailsinstrumental variablesthreshold ARCHtwo stage least squaresclosed form estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

A robust closed-form estimator for the GARCH(1,1) model

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