The asymptotic convexity of the negative likelihood function of GARCH models

DOI10.1016/J.CSDA.2004.08.012zbMath1431.62386OpenAlexW1968130476MaRDI QIDQ959162

B. E. Eshmatov

Publication date: 11 December 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2004.08.012

zbMATH Keywords

convergenceiterative algorithmmaximum likelihood estimationconvexityforeign exchange ratesGARCH

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Bootstrap prediction for returns and volatilities in GARCH models ⋮ An analysis of the flexibility of asymmetric power GARCH models

Cites Work

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• On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
• ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL

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