Pseudo maximum-likelihood estimation of the univariate GARCH (1,1) and asymptotic properties

DOI10.1080/03610926.2016.1231824zbMath1428.62396OpenAlexW2531483953MaRDI QIDQ4598614

Jean Marcelin Bosson Brou, Patrice Takam Soh, Emile Herve Ndoumbe, Eugene Kouassi

Publication date: 15 December 2017

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

Full work available at URL: https://doi.org/10.1080/03610926.2016.1231824

zbMATH Keywords

asymptotic normalitypseudo-maximum-likelihoodestimation-strong consistency-GARCH (1,1)Martingales' techniques

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Martingales with discrete parameter (60G42) Stationary stochastic processes (60G10)

This page was built for publication: Pseudo maximum-likelihood estimation of the univariate GARCH (1,1) and asymptotic properties