Parameter Estimation in Conditional Heteroscedastic Models

DOI10.1081/STA-120021324zbMath1104.62306OpenAlexW2140985786MaRDI QIDQ4707029

Samarjit Das, Snigdhansu Chatterjee

Publication date: 4 June 2003

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

Full work available at URL: https://doi.org/10.1081/sta-120021324

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20)

Related Items (4)

QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations ⋮ Testing for local covariate trend effects in volatility models ⋮ Estimation in a class of nonlinear heteroscedastic time series models ⋮ Nonlinear recursive estimation of volatility via estimating functions

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• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models

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