Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models

DOI10.1016/j.jeconom.2006.07.016zbMath1247.91142MaRDI QIDQ451281

Shiqing Ling

Publication date: 23 September 2012

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.07.016

zbMATH Keywords

asymptotic normality; GARCH model; ARMA-GARCH model; quasi-maximum likelihood estimation; self-weighted estimation

Mathematics Subject Classification ID

91B82: Statistical methods; economic indices and measures

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