Inference for Box-Cox Transformed Threshold GARCH Models with Nuisance Parameters

DOI10.1111/j.1467-9469.2012.00805.xzbMath1323.62085OpenAlexW1535087982MaRDI QIDQ2914954

Sangyeol Lee, Taewook Lee

Publication date: 21 September 2012

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9469.2012.00805.x

zbMATH Keywords

consistencyasymptotic normalitynuisance parameterquasi-maximum likelihood estimatorthreshold GARCH modelestimated likelihood estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

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