scientific article; zbMATH DE number 906967

zbMATH Open0845.62061MaRDI QIDQ4886645FDOQ4886645

Authors: Said Ould Ahmedou Voffal 

Publication date: 18 September 1996

Title of this publication is not available (Why is that?)

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zbMATH Keywords

strong consistencyautoregressive modelsalmost sure convergence rateAR (p) representationleast squares estimates of ARCH models

Mathematics Subject Classification ID

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

Cited In (11)

• Title not available (Why is that?)
• An investigation of a generalized least squares estimator for non-linear time series model
• Normalized least-squares estimation in time-varying ARCH models
• Estimation and strict stationarity testing of ARCH processes based on weighted least squares
• Parameter estimation in the ARCH model with weighted liquidity
• A Weighted Linear Estimator of Multivariate ARCH Parameters
• Least squares estimation of ARCH models with missing observations
• Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE
• Asymptotic efficiency of conditional least squares estimators for ARCH models
• A note on uniform convergence of an ARCH\((\infty)\) estimator
• WHITTLE ESTIMATION OF ARCH MODELS

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