QMLE for Quadratic ARCH Model with Long Memory

DOI10.1111/jtsa.12227zbMath1367.62061OpenAlexW2964034198MaRDI QIDQ5283410

Andrius Škarnulis, Ieva Grublytė, Donatas Surgailis

Publication date: 21 July 2017

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

Full work available at URL: https://doi.org/10.1111/jtsa.12227

zbMATH Keywords

long memoryquasi-maximum likelihoodparametric estimationLARCH modelquadratic ARCH process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

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• ON A FAMILY OF CONTRASTS FOR PARAMETRIC INFERENCE IN DEGENERATE ARCH MODELS
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• A generalized nonlinear model for long memory conditional heteroscedasticity

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