Inconsistency of the MLE and inference based on weighted LS for LARCH models (Q736696): Difference between revisions

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+MaRDI publication profile
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+https://doi.org/10.1016/j.jeconom.2010.05.003
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+W2066378766
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@@ Property / cites work @@
+On location estimation for LARCH processes
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+Asymptotic results for long memory LARCH sequences
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+GARCH processes: structure and estimation
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+A Class of Nonlinear Arch Models
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+LARGE SAMPLE DISTRIBUTION OF WEIGHTED SUMS OF ARCH(<i>p</i>)  SQUARED RESIDUAL CORRELATIONS
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+Empirical process of the squared residuals of an ARCH sequence
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+DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
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