ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS (Q3375346): Difference between revisions

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+Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
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+Asymptotic theory for multivariate GARCH processes.
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+MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC  VOLATILITY MODELS
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+Martingale Central Limit Theorems
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+Regular variation of GARCH processes.
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+Diagnostic testing and evaluation of maximum likelihood models
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+Estimation When a Parameter is on a Boundary
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+The geometric ergodicity and existence of moments for a class of nonlinear time series model
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+On the measurability and consistency of minimum contrast estimates
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+Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
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+Qualitative threshold ARCH models
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+Modelling the persistence of conditional variances
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Mixing Conditions for Markov Chains
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+Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
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+\(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.
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+https://doi.org/10.1017/s0266466605050474
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+W2146774659
@@ Property / OpenAlex ID: W2146774659 / rank @@
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