Offline and online weighted least squares estimation of nonstationary power ARCH processes

DOI10.1016/j.spl.2011.05.002zbMath1219.62131OpenAlexW2054802171MaRDI QIDQ634578

Eid M. Al-Eid, Abdelhakim Aknouche, Aboubakry M. Hmeid

Publication date: 16 August 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.05.002

zbMATH Keywords

asymptotic normalityrecursive estimationweighted least squares estimateBox-Cox transformed ARCHnonstationary ARCH process

Mathematics Subject Classification ID

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

Related Items

Inference in nonstationary asymmetric GARCH models, Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases, Estimation and strict stationarity testing of ARCH processes based on weighted least squares, Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model

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