Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

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Publication:1763105

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DOI10.3150/bj/1093265632zbMath1067.62094OpenAlexW1994411832MaRDI QIDQ1763105

Christian Francq, Jean-Michel Zakoian

Publication date: 21 February 2005

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/bj/1093265632

zbMATH Keywords

asymptotic normality GARCH heteroskedastic time series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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