scientific article; zbMATH DE number 906967

zbMATH Open0845.62061MaRDI QIDQ4886645FDOQ4886645

Authors Said Ould Ahmedou Voffal 

Publication date 18 September 1996

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)

Recommendations

• ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS
• Least squares estimation of ARCH models with missing observations
• scientific article; zbMATH DE number 4043108
• scientific article; zbMATH DE number 2197669
• Asymptotic efficiency of conditional least squares estimators for ARCH models

Cited in

(11)

• Least squares estimation of ARCH models with missing observations
• Estimation and strict stationarity testing of ARCH processes based on weighted least squares
• Normalized least-squares estimation in time-varying ARCH models
• WHITTLE ESTIMATION OF ARCH MODELS
• A note on uniform convergence of an ARCH\((\infty)\) estimator
• Asymptotic efficiency of conditional least squares estimators for ARCH models
• A Weighted Linear Estimator of Multivariate ARCH Parameters
• An investigation of a generalized least squares estimator for non-linear time series model
• scientific article; zbMATH DE number 4043108 (Why is no real title available?)
• Parameter estimation in the ARCH model with weighted liquidity
• Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4886645)