Consistency of maximum likelihood estimators for the regime-switching GARCH model
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Publication:5400785
DOI10.1080/02331880701442619zbMath1282.62051MaRDI QIDQ5400785
Publication date: 12 March 2014
Published in: Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331880701442619
62F12: Asymptotic properties of parametric estimators
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
Related Items
QML estimation of asymmetric Markov switching GARCH(\(p,q\)) processes, Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models
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