Statistical inference for non-stationary GARCH(\(p\),\(q\)) models (Q1952010)
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scientific article; zbMATH DE number 6166469
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| English | Statistical inference for non-stationary GARCH(\(p\),\(q\)) models |
scientific article; zbMATH DE number 6166469 |
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Statistical inference for non-stationary GARCH(\(p\),\(q\)) models (English)
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27 May 2013
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asymptotic normality
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consistency
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non-stationary GARCH model
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Oseledec's multiplicative ergodic theorem
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product of random matrices
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quasi-maximum likelihood estimator
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0.96081626
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0.9430001
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0.93643004
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0.9257432
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0.92362547
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0.9188949
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0.91526824
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0.9115094
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0.90189064
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