On Efficient Inference in GARCH Processes

DOI10.1007/0-387-36062-X_14zbMath1102.62095OpenAlexW2206722798MaRDI QIDQ3416896

Jean-Michel Zakoian, Christian Francq

Publication date: 9 January 2007

Published in: Lecture Notes in Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/0-387-36062-x_14

Mathematics Subject Classification ID

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

Related Items (3)

Inference in nonstationary asymmetric GARCH models ⋮ Specification tests for the error distribution in GARCH models ⋮ Testing the existence of moments for GARCH processes

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