Pseudo‐likelihood estimation in ARCH models

DOI10.1002/cjs.5550340210zbMath1142.62063MaRDI QIDQ5443826

Kanchan Mukherjee

Publication date: 22 February 2008

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.5550340210

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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