ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH

DOI10.1017/S0266466604206065zbMath1069.62067MaRDI QIDQ5314886

Publication date: 5 September 2005

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466604206065

zbMATH Keywords

generalized autoregressive conditional heteroskedastic model

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

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