Limit Theory for the QMLE of the GQARCH (1,1) Model

DOI10.1080/03610926.2013.847105zbMath1329.60021OpenAlexW2002513882MaRDI QIDQ3458099

Alexandros Louka, Stelios Arvanitis

Publication date: 8 December 2015

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.847105

zbMATH Keywords

weak convergenceasymptotic distributionminimizersergodicityquadratic formsepi-convergencestationarityquasi likelihoodmartingale transformsstochastic recurrence equationquadratic ARCH models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)

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Cites Work

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• Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
• On the measurability and consistency of minimum contrast estimates
• A quadratic ARCH(∞) model with long memory and Lévy stable behavior of squares
• Asymptotic Statistics
• Estimation When a Parameter is on a Boundary
• Quadratic ARCH Models
• Inference in Arch and Garch Models with Heavy-Tailed Errors

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