On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model
DOI10.1111/JTSA.12494zbMath1454.62251OpenAlexW2957768771WikidataQ127518735 ScholiaQ127518735MaRDI QIDQ5111848
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
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
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Economic time series analysis (91B84) Martingales with continuous parameter (60G44) Functional limit theorems; invariance principles (60F17)
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