scientific article; zbMATH DE number 5239095

zbMATH Open1138.62046MaRDI QIDQ5442467FDOQ5442467

Authors: Tomoyuki Amano 

Publication date: 22 February 2008

Title of this publication is not available (Why is that?)

Recommendations

• scientific article; zbMATH DE number 5846682
• On Asymptotic Theory for ARCH (∞) Models
• ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
• Asymptotic efficiency of conditional least squares estimators for ARCH models
• \(L_{p}\)-estimators in ARCH models
• Estimation and asymptotic inference in the AR-ARCH model
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case

zbMATH Keywords

asymptotic efficiencyspectral density

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Graphical methods in statistics (62A09) Inference from stochastic processes and spectral analysis (62M15)

Cited In (2)

• Uniform limit theorems for the integrated periodogram of weakly dependent time series and their applications to Whittle's estimate
• WHITTLE ESTIMATION OF ARCH MODELS

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5442467)