Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model

DOI10.1016/J.ECONLET.2017.09.035zbMATH Open1398.91676OpenAlexW2765314969MaRDI QIDQ1786796FDOQ1786796

Authors: Stelios Arvanitis, Alexandros Louka 

Publication date: 25 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2017.09.035

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zbMATH Keywords

stable distributionnon-stationaritydomain of attractionmartingale limit theoremslowly varying sequenceGaussian QMLEregularly varying rate

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Limit theorems in probability theory (60F99) Martingales with continuous parameter (60G44)

Cites Work

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• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
• The efficiency of the estimators of the parameters in GARCH processes.
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
• Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
• Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
• Nonstationary GARCH with \(t\)-distributed innovations
• Principle of conditioning in limit theorems for sums of random variables
• Title not available (Why is that?)
• A note on the QMLE limit theory in the non-stationary ARCH(1) model

Cited In (7)

• Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model
• The impact of investor sentiment on crude oil market risks: evidence from the wavelet approach
• Small-noise limit of the quasi-Gaussian log-normal HJM model
• On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model
• Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
• A note on the QMLE limit theory in the non-stationary ARCH(1) model
• Limit Theory for the QMLE of the GQARCH (1,1) Model

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