Inference for Box-Cox Transformed Threshold GARCH Models with Nuisance Parameters
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Publication:2914954
DOI10.1111/j.1467-9469.2012.00805.xzbMath1323.62085MaRDI QIDQ2914954
Publication date: 21 September 2012
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9469.2012.00805.x
consistency; asymptotic normality; nuisance parameter; quasi-maximum likelihood estimator; threshold GARCH model; estimated likelihood estimator
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M09: Non-Markovian processes: estimation
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