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
asymptotic normalityGARCHnonstationary processesstrong consistencyquasi-maximum likelihood estimationtime-varying models
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)
Related Items (3)
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