Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model (Q1726827)
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scientific article; zbMATH DE number 7026269
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| English | Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model |
scientific article; zbMATH DE number 7026269 |
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Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model (English)
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20 February 2019
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domain of attraction
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non-stationarity
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quasi-maximum likelihood estimation (QMLE)
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Gaussian QMLE
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asymmetric GARCH
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inconsistency
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robustness
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0.949212610721588
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0.8678606152534485
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0.8660389184951782
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0.8656436800956726
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