Offline and online weighted least squares estimation of nonstationary power ARCH processes

DOI10.1016/J.SPL.2011.05.002zbMath1219.62131OpenAlexW2054802171MaRDI QIDQ634578

Eid M. Al-Eid, Abdelhakim Aknouche, Aboubakry M. Hmeid

Publication date: 16 August 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.05.002

zbMATH Keywords

asymptotic normalityrecursive estimationweighted least squares estimateBox-Cox transformed ARCHnonstationary ARCH process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Inference in nonstationary asymmetric GARCH models ⋮ Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases ⋮ Estimation and strict stationarity testing of ARCH processes based on weighted least squares ⋮ Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model

Cites Work

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• SOME THEOREMS IN LEAST SQUARES

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