Normalité asymptotique de l'estimateur du pseudo-maximum de vraisemblance d'un modèle GARCH

DOI10.1016/S0764-4442(00)01593-7zbMath0952.62022OpenAlexW2078817859MaRDI QIDQ4511649

Farid Boussama

Publication date: 18 January 2001

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(00)01593-7

zbMATH Keywords

quasi-maximum likelihood estimatorasymptotic GaussianityGARCH(p,q) model

Mathematics Subject Classification ID

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

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