An ARCH model without intercept
From MaRDI portal
Publication:500477
DOI10.1016/j.econlet.2015.01.029zbMath1321.62144OpenAlexW1965856644MaRDI QIDQ500477
Arie Preminger, Christian M. Hafner
Publication date: 5 October 2015
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2015.01.029
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Sums of independent random variables; random walks (60G50)
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Cites Work
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- ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Handbook of Volatility Models and Their Applications
- Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
