Pseudo maximum likelihood estimation and asymptotic results of the GARCH (1, 2) Model under dependent innovations (Q5088100)

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scientific article; zbMATH DE number 7552789
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Pseudo maximum likelihood estimation and asymptotic results of the GARCH (1, 2) Model under dependent innovations
scientific article; zbMATH DE number 7552789

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    Pseudo maximum likelihood estimation and asymptotic results of the GARCH (1, 2) Model under dependent innovations (English)
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    4 July 2022
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    asymptotic normality
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    consistency
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    dependent innovations
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    GARCH model
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    Monte Carlo results
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    pseudo-maximum likelihood
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    quadratic exponential families
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