The rate of consistency of the quasi-maximum likelihood estimator.

DOI10.1016/S0167-7152(02)00342-5zbMath1041.62017OpenAlexW2060984802MaRDI QIDQ1424476

Lajos Horváth, István Berkes

Publication date: 14 March 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(02)00342-5

zbMATH Keywords

Quasi-maximum likelihoodGARCH(p,q) sequenceRate of consistency

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

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• Stationarity of GARCH processes and of some nonnegative time series
• Strict stationarity of generalized autoregressive processes
• The sample ACF of a simple bilinear process
• Generalized autoregressive conditional heteroscedasticity
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models

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