Asymptotic theory for QMLE for the real‐time GARCH(1,1) model

DOI10.1111/jtsa.12578zbMath1476.62193OpenAlexW3112547429MaRDI QIDQ5012866

Ekaterina Smetanina, Wei-Biao Wu

Publication date: 25 November 2021

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

Full work available at URL: https://doi.org/10.1111/jtsa.12578

zbMATH Keywords

GARCHstationarityasymptotic theoryderivative processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cites Work

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