Asymptotics of the QMLE for Non-Linear ARCH Models

DOI10.2202/1941-1928.1001zbMath1266.62066OpenAlexW2029255420MaRDI QIDQ4928509

Dennis Kristensen, Anders Rahbek

Publication date: 14 June 2013

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1941-1928.1001

zbMATH Keywords

nonlinearquasi maximum likelihood estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items (6)

Inference for Box-Cox Transformed Threshold GARCH Models with Nuisance Parameters ⋮ GARCH models without positivity constraints: exponential or log GARCH? ⋮ Likelihood-based inference for cointegration with nonlinear error-correction ⋮ Asymptotic normality of the MLE in the level-effect ARCH model ⋮ PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS ⋮ Asymptotic theory for QMLE for the real‐time GARCH(1,1) model

This page was built for publication: Asymptotics of the QMLE for Non-Linear ARCH Models