On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model
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) 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)
- Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model
- Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model
- Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
- Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
- A note on the QMLE limit theory in the non-stationary ARCH(1) model
- scientific article; zbMATH DE number 43570 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 3349105 (Why is no real title available?)
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- Limit theorems for sums of linearly generated random variables
- On the Harris recurrence of iterated random Lipschitz functions and related convergence rate results
- Point process and partial sum convergence for weakly dependent random variables with infinite variance
- Regular Variation in R k
- Spectral gap properties for linear random walks and Pareto's asymptotics for affine stochastic recursions
- Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model
- Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
- Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model
- Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
- A CLT for martingale transforms with infinite variance
- On the invertibility of EGARCH\((p, q)\)
- On the tvGARCH(1,1) model: existence, CLT, and tail index
- Limit Theory for the QMLE of the GQARCH (1,1) Model
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