On approximate pseudo-maximum likelihood estimation for LARCH-processes
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Publication:605885
DOI10.3150/09-BEJ189zbMath1200.62100arXiv1001.1825MaRDI QIDQ605885
Publication date: 15 November 2010
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1001.1825
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05)
Related Items (5)
A generalized nonlinear model for long memory conditional heteroscedasticity ⋮ QMLE for Quadratic ARCH Model with Long Memory ⋮ A nonlinear model for long-memory conditional heteroscedasticity ⋮ ON A FAMILY OF CONTRASTS FOR PARAMETRIC INFERENCE IN DEGENERATE ARCH MODELS ⋮ A new estimator for LARCH processes
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