Consistency of maximum likelihood estimators for the regime-switching GARCH model

DOI10.1080/02331880701442619zbMath1282.62051MaRDI QIDQ5400785

Y. Xie

Publication date: 12 March 2014

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331880701442619

zbMATH Keywords

consistency; asymptotic normality; regime switching; MLE; GARCH model; model specification

Mathematics Subject Classification ID

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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