The efficiency of the estimators of the parameters in GARCH processes.

DOI10.1214/009053604000000120zbMath1048.62082arXivmath/0406432MaRDI QIDQ1879947

István Berkes, Lajos Horváth

Publication date: 15 September 2004

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0406432

zbMATH Keywords

asymptotic normality; quasi-maximum likelihood; asymptotic covariance matrix; Fisher information number; GARCH(p,q) sequence

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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