Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model (Q1726827)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model |
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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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