On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model

DOI10.1111/JTSA.12494zbMATH Open1454.62251OpenAlexW2957768771WikidataQ127518735 ScholiaQ127518735MaRDI QIDQ5111848FDOQ5111848

Stelios Arvanitis, Sofia Anyfantaki

Publication date: 27 May 2020

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

Full work available at URL: https://doi.org/10.1111/jtsa.12494

zbMATH Keywords

stable distributionmartingale limit theoremregularly varying tailregularly varying rateDoA (domain of attraction)EGARCH\((1,1)\) processGaussian SQMLE (stable quasi maximum likelihood estimator)univariate EGARCH (exponential generalized autoregressive conditional heteroscedastic) model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Economic time series analysis (91B84) Functional limit theorems; invariance principles (60F17) Martingales with continuous parameter (60G44)

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Cited In (2)

• Limit Theory for the QMLE of the GQARCH (1,1) Model
• On the tvGARCH(1,1) model: existence, CLT, and tail index

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