Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
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Publication:4883104
DOI10.2307/2171862zbMath0844.62080OpenAlexW2086624954MaRDI QIDQ4883104
Publication date: 1 September 1996
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2171862
consistencyasymptotic normalitycovariance matrixunit rootlimiting distributionquasi-maximum likelihood estimatorconditional varianceGARCH(1,1)autoregressive conditional heteroskedasticity modelIGARCH(1,1) models
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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