Estimation de représentations GARCH faibles

DOI10.1016/S0764-4442(97)89798-4zbMath0917.62076OpenAlexW2071827148MaRDI QIDQ4219561

Jean-Michel Zakoian, Christian Francq

Publication date: 14 February 1999

Published in: Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0764-4442(97)89798-4

zbMATH Keywords

asymptotic normalitystrong consistencysquared linear predictions errorsweak ARMA-GARCH representations

Mathematics Subject Classification ID

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

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