Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case

DOI10.1111/j.1468-0262.2004.00504.xzbMath1091.62074OpenAlexW1980002957MaRDI QIDQ5473024

Anders Rahbek, Søren Tolver Jensen

Publication date: 19 June 2006

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1468-0262.2004.00504.x

zbMATH Keywords

GARCHnonstationarity

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Economic time series analysis (91B84) Stochastic models in economics (91B70)

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