Inference in nonstationary asymmetric GARCH models (Q385779)
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scientific article; zbMATH DE number 6237602
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| English | Inference in nonstationary asymmetric GARCH models |
scientific article; zbMATH DE number 6237602 |
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Inference in nonstationary asymmetric GARCH models (English)
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11 December 2013
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inconsistency of estimators
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local power of tests
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nonstationarity
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quasi maximum likelihood estimation
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0.8783664703369141
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0.8646529912948608
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0.8528519868850708
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0.833055853843689
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0.8324266076087952
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