A note on the QMLE limit theory in the non-stationary ARCH(1) model

DOI10.1515/jtse-2014-0034zbMath1499.62295OpenAlexW2288772032MaRDI QIDQ1695669

Alexandros Louka, Stelios Arvanitis

Publication date: 7 February 2018

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jtse-2014-0034

zbMATH Keywords

domain of attractionslow variationinconsistencyQMLE\(\alpha\)-stable distributionMLT with mixed limitnon-stationary ARCH(1)non-tightness

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

Related Items (2)

Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model ⋮ Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model

Cites Work

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• MARTINGALE LIMIT THEOREM REVISITED AND NONLINEAR COINTEGRATING REGRESSION
• Asymptotic Statistics
• Estimation When a Parameter is on a Boundary
• GARCH Models
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case

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