ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS

DOI10.1111/1467-9892.00296zbMath1113.62095MaRDI QIDQ3440776

Kanchan Mukherjee, Arup Bose

Publication date: 29 May 2007

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00296

zbMATH Keywords

asymptotic; ARCH model; quasi-maximum likelihood estimate

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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Cites Work

• ARCH modeling in finance. A review of the theory and empirical evidence
• Stationarity of GARCH processes and of some nonnegative time series
• Handbook of econometrics. Vol. 4
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