Statistical inference for time-varying ARCH processes

DOI10.1214/009053606000000227zbMath1113.62099arXivmath/0607799OpenAlexW2169001471MaRDI QIDQ2500447

Suhasini Subba Rao, Rainer Dahlhaus

Publication date: 24 August 2006

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0607799

zbMATH Keywords

locally stationaryquasi-likelihood estimatesderivative processtime-varying ARCH process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

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