Quadratic random coefficient autoregression with linear-in-parameters volatility

DOI10.1007/s11203-014-9108-3zbMath1329.62368OpenAlexW2070325499MaRDI QIDQ2350910

Abdelhakim Aknouche

Publication date: 25 June 2015

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-014-9108-3

zbMATH Keywords

consistency and asymptotic normalitystationarity testingfour-stage weighted least squaresgeneralized random coefficient autoregressionquadratic ARCH

Mathematics Subject Classification ID

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

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