Pseudo maximum likelihood estimation and asymptotic results of the GARCH (1, 2) Model under dependent innovations

DOI10.1080/03610918.2018.1513140OpenAlexW2912864628MaRDI QIDQ5088100

Eugene Kouassi, Renaud Fadonougbo, Mbodja Mougoué, Patrice Soh Takam, Jean Marcelin Bosson Brou

Publication date: 4 July 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2018.1513140

zbMATH Keywords

consistencyasymptotic normalityMonte Carlo resultsGARCH modelpseudo-maximum likelihoodquadratic exponential familiesdependent innovations

Mathematics Subject Classification ID

Stochastic processes (60Gxx)

Cites Work

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• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case

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