scientific article; zbMATH DE number 906967
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Publication:4886645
zbMATH Open0845.62061MaRDI QIDQ4886645FDOQ4886645
Authors: Said Ould Ahmedou Voffal
Publication date: 18 September 1996
Title of this publication is not available (Why is that?)
Recommendations
strong consistencyautoregressive modelsalmost sure convergence rateAR (p) representationleast squares estimates of ARCH models
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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