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

DOI10.1016/j.econlet.2017.09.035zbMath1398.91676OpenAlexW2765314969MaRDI QIDQ1786796

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

zbMATH Keywords

domain of attractionstable distributionnon-stationaritymartingale 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) Martingales with continuous parameter (60G44) Limit theorems in probability theory (60F99)

Related Items (3)

On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model ⋮ 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

Cites Work

• Principle of conditioning in limit theorems for sums of random variables
• Nonstationary GARCH with \(t\)-distributed innovations
• A note on the QMLE limit theory in the non-stationary ARCH(1) model
• The efficiency of the estimators of the parameters in GARCH processes.
• 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
• 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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