Inference in nonstationary asymmetric GARCH models

DOI10.1214/13-AOS1132zbMath1277.62210arXiv1310.8092OpenAlexW3105863402MaRDI QIDQ385779

Christian Francq, Jean-Michel Zakoian

Publication date: 11 December 2013

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.8092

zbMATH Keywords

nonstationarityinconsistency of estimatorslocal power of testsquasi maximum likelihood estimation

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)

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