A Tour in the Asymptotic Theory of GARCH Estimation

DOI10.1007/978-3-540-71297-8_4zbMath1178.62097OpenAlexW1549966320MaRDI QIDQ3646950

Jean-Michel Zakoian, Christian Francq

Publication date: 27 November 2009

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

Full work available at URL: http://crest.science/RePEc/wpstorage/2008-03.pdf

zbMATH Keywords

ARMA modelsWhittle estimatormoment estimatorsquasi maximum likelihood estimationleast absolute deviation estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (5)

Dynamic factor multivariate GARCH model ⋮ Quasilikelihood and quasi-maximum likelihood for GARCH-type processes: estimating function approach ⋮ General-order observation-driven models: ergodicity and consistency of the maximum likelihood estimator ⋮ Necessary and sufficient conditions for the identifiability of observation‐driven models ⋮ ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS

This page was built for publication: A Tour in the Asymptotic Theory of GARCH Estimation