The ARCH(2) model: Pseudo-maximum estimation and asymptotic results under dependent innovations

DOI10.1080/03610926.2017.1337142zbMath1435.62333OpenAlexW2622583265MaRDI QIDQ4563528

Patrice Takam Soh, Eugene Kouassi, Morvan Nongni Donfack, Jean Marcelin B. Bosson

Publication date: 1 June 2018

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1337142

zbMATH Keywords

consistencyasymptotic normalitypseudo-maximum likelihood estimationquadratic exponential familiesARCH(2) modeldependent innovations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Martingales with continuous parameter (60G44)

Cites Work

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