On Asymptotic Theory for ARCH (∞) Models

DOI10.1111/JTSA.12239zbMath1416.62491OpenAlexW2597821612MaRDI QIDQ4596427

Christian M. Hafner, Arie Preminger

Publication date: 1 December 2017

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12239

zbMATH Keywords

fractional integrationlong memoryquasi-maximum likelihoodvolatility

Mathematics Subject Classification ID

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

Related Items (2)

Two‐Step Estimation for Time Varying Arch Models ⋮ Conditional asymmetry in power ARCH\((\infty)\) models

This page was built for publication: On Asymptotic Theory for ARCH (∞) Models