On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model (Q5111848)
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scientific article; zbMATH DE number 7205124
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| English | On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model |
scientific article; zbMATH DE number 7205124 |
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On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model (English)
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27 May 2020
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martingale limit theorem
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DoA (domain of attraction)
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stable distribution
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regularly varying tail
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Gaussian SQMLE (stable quasi maximum likelihood estimator)
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regularly varying rate
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EGARCH\((1,1)\) process
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univariate EGARCH (exponential generalized autoregressive conditional heteroscedastic) model
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