ARCH/GARCH with persistent covariate: asymptotic theory of MLE

DOI10.1016/J.JECONOM.2011.10.004zbMath1441.62720OpenAlexW2022331743MaRDI QIDQ738138

Joon Y. Park, Heejoon Han

Publication date: 15 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.10.004

zbMATH Keywords

ARCHmaximum likelihood estimatorGARCHasymptotic distribution theorypersistent covariate

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (6)

Semi-parametric estimation and forecasting for exogenous log-GARCH models ⋮ A perspective on recent methods on testing predictability of asset returns ⋮ GARCH with omitted persistent covariate ⋮ Nonparametric testing for long-horizon predictability with persistent covariates ⋮ TESTING GARCH-X TYPE MODELS ⋮ NONSTATIONARY NONLINEARITY: A SURVEY ON PETER PHILLIPS’S CONTRIBUTIONS WITH A NEW PERSPECTIVE

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