Asymptotics of the QMLE for Non-Linear ARCH Models
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Publication:4928509
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
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)
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