Exponential control of the trajectories of iterated function systems with application to semi-strong GARCH models

DOI10.1017/jpr.2023.13MaRDI QIDQ6148890

Unnamed Author

Publication date: 12 January 2024

Published in: Journal of Applied Probability (Search for Journal in Brave)

zbMATH Keywords

quasi-maximum likelihoodstochastic recurrence equationinference without momentssemi-strong GARCH

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Random operators and equations (aspects of stochastic analysis) (60H25)

Cites Work

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