A note on the QMLE limit theory in the non-stationary ARCH(1) model (Q1695669)
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scientific article; zbMATH DE number 6835917
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| English | A note on the QMLE limit theory in the non-stationary ARCH(1) model |
scientific article; zbMATH DE number 6835917 |
Statements
A note on the QMLE limit theory in the non-stationary ARCH(1) model (English)
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7 February 2018
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\(\alpha\)-stable distribution
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slow variation
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domain of attraction
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MLT with mixed limit
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non-stationary ARCH(1)
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QMLE
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inconsistency
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non-tightness
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0.8906934261322021
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0.869412362575531
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0.8678606152534485
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0.8632252812385559
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0.8390472531318665
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