Pseudo‐likelihood estimation in ARCH models

DOI10.1002/CJS.5550340210zbMath1142.62063OpenAlexW2155405171MaRDI QIDQ5443826

Kanchan Mukherjee

Publication date: 22 February 2008

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.5550340210

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)

Related Items (4)

Generalized R-estimators under conditional heteroscedasticity ⋮ On the efficiency of a semi‐parametric GARCH model ⋮ Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE ⋮ Bootstrapping a weighted linear estimator �of the ARCH parameters

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