Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models

DOI10.1007/s11425-014-4815-1zbMath1381.62253OpenAlexW2093699835MaRDI QIDQ477106

Jiazhu Pan, Hui Wang

Publication date: 2 December 2014

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-014-4815-1

zbMATH Keywords

consistencyasymptotic normalityefficiencynon-stationary TGARCHnormal mixture QMLE

Mathematics Subject Classification ID

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

Related Items (1)

Power-expected-posterior priors for generalized linear models

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