Pseudo maximum likelihood estimation of the univariate GARCH (2,2) and asymptotic normality under dependent innovations

DOI10.1080/03610926.2016.1275694zbMath1384.62290OpenAlexW2562049667MaRDI QIDQ4605236

Emile Herve Ndoumbe, Jean Marcelin Bosson Brou, Eugene Kouassi, Patrice Soh Takam

Publication date: 21 February 2018

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2016.1275694

zbMATH Keywords

asymptotic normalitymartingalespseudo-maximum likelihood estimatorquadratic exponential familyunivariate GARCH(2,2) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09)

Cites Work

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