Asymptotics of the QMLE for Non-Linear ARCH Models

DOI10.2202/1941-1928.1001MaRDI QIDQ4928509zbMATH OpenOpenAlexFDO

Authors Dennis Kristensen, Anders Rahbek

Publication date 14 June 2013

Published in Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1941-1928.1001

zbMATH Keywords

nonlinearquasi maximum likelihood estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited in

(6)

• Asymptotic normality of the MLE in the level-effect ARCH model
• GARCH models without positivity constraints: exponential or log GARCH?
• Inference for Box-Cox transformed threshold GARCH models with nuisance parameters
• Parameter estimation in nonlinear AR-GARCH models
• Asymptotic theory for QMLE for the real-time GARCH\((1,1)\) model
• Likelihood-based inference for cointegration with nonlinear error-correction

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