Statistical inference for non-stationary GARCH(\(p\),\(q\)) models
type: Item
instance of: scholarly article
title: Statistical inference for non-stationary GARCH(\(p\),\(q\)) models
zbMATH Open document ID: 1326.62184
DOI: 10.1214/09-EJS452
author: Ngai Hang Chan
author: Chi Tim Ng
published in: Electronic Journal of Statistics
publication date: 2013-05-27T00:00:00Z
full work available at URL: https://projecteuclid.org/euclid.ejs/1253195941
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F12
zbMATH DE Number: 6166469
zbMATH Keywords: asymptotic normality
zbMATH Keywords: consistency
zbMATH Keywords: non-stationary GARCH model
zbMATH Keywords: Oseledec's multiplicative ergodic theorem
zbMATH Keywords: product of random matrices
zbMATH Keywords: quasi-maximum likelihood estimator
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 6166469