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On Convergence of the QMLE for Misspecified GARCH Models - MaRDI portal

On Convergence of the QMLE for Misspecified GARCH Models

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DOI10.2202/1941-1928.1034zbMath1266.91071OpenAlexW2076353229WikidataQ61915681 ScholiaQ61915681MaRDI QIDQ4928518

Anders Tolver Jensen, Theis Lange

Publication date: 14 June 2013

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

Full work available at URL: https://doi.org/10.2202/1941-1928.1034

zbMATH Keywords

GARCH misspecification integrated GARCH high frequency exchange rates

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (2)

GARCH with omitted persistent covariate ⋮ Tests for Volatility Shifts in Garch Against Long‐Range Dependence

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