Structure and estimation of a class of nonstationary yet nonexplosive GARCH models

DOI10.1111/j.1467-9892.2010.00669.xzbMath1416.62524OpenAlexW1925229583MaRDI QIDQ3103190

Nazim Regnard, Jean-Michel Zakoian

Publication date: 26 November 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00669.x

zbMATH Keywords

asymptotic normalityGARCHnonstationary processesstrong consistencyquasi-maximum likelihood estimationtime-varying models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items (3)

On the asymmetry in the volatility of financial time series: a buffered transition approach ⋮ Probabilistic properties of a Markov-switching periodic GARCH process ⋮ Estimation and Asymptotic Properties in PeriodicGARCH(1, 1) Models

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