On location estimation for LARCH processes
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Publication:2507743
DOI10.1016/j.jmva.2005.11.003zbMath1097.62078OpenAlexW2001311737MaRDI QIDQ2507743
Publication date: 5 October 2006
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2005.11.003
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Economic time series analysis (91B84) Functional limit theorems; invariance principles (60F17)
Related Items (6)
On approximate pseudo-maximum likelihood estimation for LARCH-processes ⋮ A new estimator for LARCH processes ⋮ AGGREGATION OF THE RANDOM COEFFICIENT GLARCH(1,1) PROCESS ⋮ \(L_1\)-estimation for the location parameters in stochastic volatility models ⋮ A quadratic ARCH(∞) model with long memory and Lévy stable behavior of squares ⋮ Inconsistency of the MLE and inference based on weighted LS for LARCH models
Uses Software
Cites Work
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