Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters (Q2493561)
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scientific article; zbMATH DE number 5034320
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| English | Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters |
scientific article; zbMATH DE number 5034320 |
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Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters (English)
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21 June 2006
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GARCH process
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Gaussian quasi-maximum likelihood
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regular variation
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infinite variance
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stable distribution
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stochastic recurrence equation
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mixing
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0.90051454
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0.8827403
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0.87934303
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0.8784453
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0.86695135
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0.86578614
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0.8643487
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